Cutoff for a class of auto-regressive models with vanishing additive noise

Authors Balázs Gerencsér, Andrea Ottolini

Publication date 3 September 2022

Ergodicity, mixing, rates of mixing (37A25) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We analyze the convergence rates for a family of auto-regressive Markov chains

(X_{k}^{(n)})_{k g e q 0}

on

m a t h b b R^{d}

, where at each step a randomly chosen coordinate is replaced by a noisy damped weighted average of the others. The interest in the model comes from the connection with a certain Bayesian scheme introduced by de Finetti in the analysis of partially exchangeable data. Our main result shows that, when

n

gets large (corresponding to a vanishing noise), a cutoff phenomenon occurs.

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