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Cutoff for samples of Markov chains

Published online by Cambridge University Press:  15 August 2002

Bernard Ycart
Bernard Ycart*
Affiliation:
LMC/IMAG, BP. 53, 38041 Grenoble Cedex 9, France; Bernard.Ycart@imag.fr.
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Abstract

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.

Keywords

Independent Markov chainscutoffMCMC convergence.
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 3 , 1999 , pp. 89 - 106
Copyright
© EDP Sciences, SMAI, 1999

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