| Автор | Ycart, Bernard |
| Дата выпуска | 1999 |
| dc.description | We study the convergence to equilibrium of n-samples of independent Markov chains in discrete and continuous time. They are defined as Markov chains on the n-fold Cartesian product of the initial state space by itself, and they converge to the direct product of n copies of the initial stationary distribution. Sharp estimates for the convergence speed are given in terms of the spectrum of the initial chain. A cutoff phenomenon occurs in the sense that as n tends to infinity, the total variation distance between the distribution of the chain and the asymptotic distribution tends to 1 or 0 at all times. As an application, an algorithm is proposed for producing an n-sample of the asymptotic distribution of the initial chain, with an explicit stopping test. |
| Формат | application.pdf |
| Издатель | EDP Sciences |
| Копирайт | © EDP Sciences, SMAI, 1999 |
| Тема | Independent Markov chains |
| Тема | cutoff |
| Тема | MCMC convergence. |
| Название | Cutoff for samples of Markov chains |
| Тип | research-article |
| DOI | 10.1051/ps:1999104 |
| Electronic ISSN | 1262-3318 |
| Print ISSN | 1292-8100 |
| Журнал | ESAIM: Probability and Statistics |
| Том | 3 |
| Первая страница | 89 |
| Последняя страница | 106 |
| Аффилиация | Ycart Bernard; LMC/IMAG, BP. 53, 38041 Grenoble Cedex 9, France; Bernard.Ycart@imag.fr. |
