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arXiv · 1905.06145

On convergence rate for homogeneous Markov chains

Alexander Veretennikov·Maria Veretennikova
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Abstract

Improved rates of convergence for ergodic homogeneous Markov chains are studied. In comparison to the earlier papers the setting is also generalised to the case without a unique dominated measure. Examples are provided where the new bound is compared with the classical Markov -- Dobrushin inequality and with the second eigenvalue of the transition matrix for finite state spaces.

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Alexander Veretennikov, Maria Veretennikova. 2019-05-15. On convergence rate for homogeneous Markov chains. https://doi.org/10.1134/s1064562420010081

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