Mixing time estimation in reversible Markov chains from a single sample path

DOI10.1214/18-AAP1457zbMath1466.60143arXiv1708.07367MaRDI QIDQ2330466

Yuval Peres, Csaba Szepesvári, Daniel Hsu, David A. Levin, Leonid (Aryeh) Kontorovich, Geoffrey Wolfer

Publication date: 22 October 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07367

zbMATH Keywords

Markov chains; spectral gap; mixing time; empirical confidence interval

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

62M99: Inference from stochastic processes