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Convergence of Markov chain transition probabilities

Authors :
Scheutzow, Michael
Schindler, Dominik
Source :
Electron. Commun. Probab. 26 (2021)
Publication Year :
2020

Abstract

Consider a discrete time Markov chain with rather general state space which has an invariant probability measure $\mu$. There are several sufficient conditions in the literature which guarantee convergence of all or $\mu$-almost all transition probabilities to $\mu$ in the total variation (TV) metric: irreducibility plus aperiodicity, equivalence properties of transition probabilities, or coupling properties. In this work, we review and improve some of these criteria in such a way that they become necessary and sufficient for TV convergence of all respectively $\mu$-almost all transition probabilities. In addition, we discuss so-called generalized couplings.

Details

Database :
arXiv
Journal :
Electron. Commun. Probab. 26 (2021)
Publication Type :
Report
Accession number :
edsarx.2004.10235
Document Type :
Working Paper
Full Text :
https://doi.org/10.1214/21-ECP395