THE DISTRIBUTION OF MIXING TIMES IN MARKOV CHAINS

Jeffrey J. Hunter ()
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Jeffrey J. Hunter: School of Computing & Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand

Asia-Pacific Journal of Operational Research (APJOR), 2013, vol. 30, issue 01, 1-29

Abstract: The distribution of the "mixing time" or the "time to stationarity" in a discrete time irreducible Markov chain, starting in state i, can be defined as the number of trials to reach a state sampled from the stationary distribution of the Markov chain. Expressions for the probability generating function, and hence the probability distribution of the mixing time, starting in state i, are derived and special cases explored. This extends the results of the author regarding the expected time to mixing [Hunter, JJ (2006). Mixing times with applications to perturbed Markov chains. Linear Algebra and Its Applications, 417, 108–123] and the variance of the times to mixing, [Hunter, JJ (2008). Variances of first passage times in a Markov chain with applications to mixing times. Linear Algebra and Its Applications, 429, 1135–1162]. Some new results for the distribution of the recurrence and the first passage times in a general irreducible three-state Markov chain are also presented.

Keywords: Markov chains; stationary distribution; first passage times; hitting times; mixing times; time to stationarity; Kemeny constant; distributions; 37A25; 60J10; 60E05; 60J22 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1142/S0217595912500455

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