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

Fraser Daly

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arXiv · 1812.07896

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

Fraser Daly

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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.

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Fraser Daly. 2018-12-19. On strong stationary times and approximation of Markov chain hitting times by geometric sums. https://arxiv.org/abs/1812.07896

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