Bounds on regeneration times and limit theorems for subgeometric Markov chains

DOI10.1214/07-AIHP109zbMATH Open1176.60063arXivmath/0601036OpenAlexW2953075250MaRDI QIDQ731664FDOQ731664

Authors: Randal Douc, Arnaud Guillin, Eric Moulines 

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: This paper studies limit theorems for Markov Chains with general state space under conditions which imply subgeometric ergodicity. We obtain a central limit theorem and moderate deviation principles for additive not necessarily bounded functional of the Markov chains under drift and minorization conditions which are weaker than the Foster-Lyapunov conditions. The regeneration-split chain method and a precise control of the modulated moment of the hitting time to small sets are employed in the proof.

Full work available at URL: https://arxiv.org/abs/math/0601036

Recommendations

• Limit theorems for functionals of ergodic Markov chains with general state space
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Moderate deviations for empirical measures of Markov chains: Upper bounds
• MARKOV CHAINS SATISFYING SIMPLE DRIFT CONDITIONS FOR SUBGEOMETRIC ERGODICITY
• Subgeometric ergodicity for continuous-time Markov chains

zbMATH Keywords

Markov chainsrates of convergencestochastic monotonicity

Mathematics Subject Classification ID

Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Markov chains and stochastic stability
• Polynomial convergence rates of Markov chains
• General Irreducible Markov Chains and Non-Negative Operators
• Limit theorems for functionals of ergodic Markov chains with general state space
• Probability Inequalities for Sums of Independent Random Variables
• Bounds on regeneration times and convergence rates for Markov chains
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• The Berry-Esse�n theorem for strongly mixing Harris recurrent Markov chains
• Sur les déviations modérées des sommes de variables aléatoires vectorielles indépendantes de même loi. (On moderate deviations of sums of independent and identically distributed vector valued random variables)
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Practical drift conditions for subgeometric rates of convergence.
• Moderate deviations for \(m\)-dependent random variables with Banach space values
• Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
• \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
• The rate of convergence in Orey's theorem for Harris recurrent Markov chains with applications to renewal theory
• Moderate deviations for empirical measures of Markov chains: Upper bounds
• Moderate deviations for empirical measures of Markov chains: Lower bounds
• Moderate deviations for Markov chains with atom.

Cited In (13)

• Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings
• Exponential concentration inequalities for additive functionals of Markov chains
• Title not available (Why is that?)
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Some remarks on MCMC estimation of spectra of integral operators
• Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains
• Geometric ergodicity of the bouncy particle sampler
• General Bernstein-like inequality for additive functionals of Markov chains
• A renewal approach to Markovian \(U\)-statistics
• Nonasymptotic bounds on the estimation error of MCMC algorithms
• Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
• Rigorous confidence bounds for MCMC under a geometric drift condition
• A Bernstein type inequality and moderate deviations for weakly dependent sequences

This page was built for publication: Bounds on regeneration times and limit theorems for subgeometric Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q731664)