Estimate the exponential convergence rate of f-ergodicity via spectral gap

Xianping Guo and Zhong-Wei Liao

Statistics & Probability Letters, 2021, vol. 168, issue C

Abstract: This paper studies the f-ergodicity and its exponential convergence rate for continuous-time Markov chain. Assume f is square integrable, for reversible Markov chain, it is proved that the exponential convergence of f-ergodicity holds if and only if the spectral gap of the generator is positive. Moreover, the convergence rate is equal to the spectral gap. For irreversible case, the positivity of spectral gap remains a sufficient condition of f-ergodicity. The effectiveness of these results are illustrated by some typical examples.

Keywords: Spectral gap; f-ergodicity; Markov chain; h-transform (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.108924

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