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On the convergence of the Markov chain simulation method. (English) Zbl 0860.60057

The following results on ergodicity of Markov chains with general state spaces have been proved. Suppose that the Markov chain \(\{X_n\}\) with state space \(({\mathcal X},{\mathcal B})\) and transition function \(P(x,C)\) has an invariant probability measure \(\pi\), and there is a set \(A\in{\mathcal B}\), a probability measure \(\rho\) with \(\rho(A)=1\), a constant \(\varepsilon>0\) and an integer \(n_0\geq1\) such that \(\pi\{x:P_x(T(A)<\infty)>0\}=1\), and \(P^{n_0}(x,\cdot)\geq\varepsilon\rho(\cdot)\) for each \(x\in A\), where \(T(A)=\inf\{n>0: X_n\in A\}\). Then \[ \lim_{n\to\infty} \sup_{C\in {\mathcal B}} \Biggl|{1\over n} \sum^n_{j=1} P^j(x,C)- \pi(C)\Biggr|=0\qquad \pi\text{-a.s.}. \] Let \(f(x)\) be a measurable function such that \(\int|f(y)|\pi(dy)<\infty\). Then \[ P_x\Biggl(\lim_{n\to\infty} {1\over n} \sum^n_{j=1} f(X_j)= \int f(y)\pi(dy)\Biggr)=1\qquad \pi\text{-a.s.}, \] and \[ \lim_{n\to\infty} {1\over n} \sum^n_{j=1} E_x(f(X_j))= \int f(y)\pi(dy)\qquad \pi\text{-a.s.}. \] In addition, suppose that \[ \text{g.c.d.}\{m:\text{ there is an }\varepsilon_m>0\text{ such that } P^m(x,\cdot)\geq \varepsilon_m\rho(\cdot)\text{ for each } x\in A\}=1. \] Then there is a set \(D\in {\mathcal B}\) such that \(\pi(D)=1\), and \[ \lim_{n\to\infty} \sup_{C\in{\mathcal B}} |P^n(x,C)-\pi(C)|=0\qquad\text{for each } x\in D. \] The authors argue that, compared with the earlier results on the topic, these results are more suitable to meet with the needs of the Markov chain simulation method, the assumptions made above are easier to check in reality.

MSC:

60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60J05 Discrete-time Markov processes on general state spaces
65C99 Probabilistic methods, stochastic differential equations
60B10 Convergence of probability measures

Software:

LISP-STAT; BUGS
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Full Text: DOI

References:

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[27] AMES, IOWA 50011 COLUMBUS, OHIO 43210 JAy ARAM SETHURAMAN DEPARTMENT OF STATISTICS AND STATISTICAL CONSULTING CENTER FLORIDA STATE UNIVERSITY TALLAHASSEE, FLORIDA 32306-3033
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