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Quantitative convergence rates of Markov chains: A simple account. (English) Zbl 1013.60053
Let the transition kernel for a Markov chain be defined on a state space $$X$$. Suppose two different copies of the chain, $$\{X_n\}$$ and $$\{ X_n'\}$$, starting from two different initial distributions $$\alpha (X_0)$$ and $$\alpha (X_0')$$. The total variation distance between the two copies after $$k$$ steps of the chain is defined by $\bigl\|\alpha(x_k)-\alpha(x_k') \bigr \|_{\text{TV}}= \sup_{A\subseteq X}\bigl |P(x_k\in A)-P(x_k'\in A)\bigr |.$ Such quantitative bounds on convergence rates of Markov chains have been motivated by interest in Markov chain (MCMC) algorithms including the Gibbs sampler and the Metropolis-Hastings algorithm.
The author presents such a quantitative bound result on the total variation distance after $$k$$ iterations between two Markov chains with different initial distributions but identical transition probabilities. The result is a simplified and improved version of the result of J. S. Rosenthal (1995) which also takes into account the $$\varepsilon$$-improvement of G. O. Roberts and R. L. Tweedie [Stochastic Processes Appl. 80, No. 2, 211-229 (1999; Zbl 0961.60066)] and which follows as a special case of the complicated time-inhomogeneous results of Douc et al. (2002).

##### MSC:
 60J05 Discrete-time Markov processes on general state spaces 62M05 Markov processes: estimation; hidden Markov models
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