On strong stationary times and approximation of Markov chain hitting times by geometric sums

DOI10.1016/J.SPL.2019.02.017MaRDI QIDQ2322604zbMATH OpenOpenAlexFDO

Authors Fraser Daly

Publication date 5 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.07896

zbMATH Keywords

geometric sumMarkov chainspassage timestochastic orderingstrong stationary time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: Consider a discrete time, ergodic Markov chain with finite state space which is started from stationarity. Fill and Lyzinski (2014) showed that, in some cases, the hitting time for a given state may be represented as a sum of a geometric number of IID random variables. We extend this result by giving explicit bounds on the distance between any such hitting time and an appropriately chosen geometric sum, along with other related approximations. The compounding random variable in our approximating geometric sum is a strong stationary time for the underlying Markov chain; we also discuss the approximation and construction of this distribution.

Review text

The paper considers an irreducible, ergodic, discrete time Markov chain with finite state space initialized in stationary regime. It continues the investigation of the first time entrance of a given state. Under certain conditions, this time admits a representation in the form of a geometric sum of independent and identically distributed random variables. The main goal in this note is to consider the approximation of such time by a geometric sum.

Recommendations

• Mixing and hitting times for finite Markov chains
• The distribution of mixing times in Markov chains
• Strong stationary duality for continuous-time Markov chains. I: Theory
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Cites work

• Hitting times and interlacing eigenvalues: a stochastic approach using intertwinings
• Markov chains and mixing times. With a chapter on ``Coupling from the past by James G. Propp and David B. Wilson.
• On hitting times and fastest strong stationary times for skip-free and more general chains
• Shift-coupling and convergence rates of ergodic averages
• Stein's method for compound geometric approximation
• Strong stationary duality for Möbius monotone Markov chains
• Strong stationary times via a new form of duality
• Strong uniform times and finite random walks

Cited in

(4)

• Hitting time and mixing time bounds of Stein's factors
• Improved methods of hazard rate function calculation using saddlepoint approximations
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• On geometric-type approximations with applications

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