Bounds on Expected Coupling Times in a Markov Chain

Jeffrey J. Hunter ()
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Jeffrey J. Hunter: Massey University, Institute of Information & Mathematical Sciences

A chapter in Statistical Inference, Econometric Analysis and Matrix Algebra, 2009, pp 271-294 from Springer

Abstract: Abstract In the author's paper “Coupling and Mixing Times in Markov Chains” (Res. Lett. Inf. Math. Sci, 11, 1–22, 2007) it was shown that it is very difficult to find explicit expressions for the expected time to coupling in a general Markov chain. In this paper simple upper and lower bounds are given for the expected time to coupling in a discrete time finite Markov chain. Extensions to the bounds under additional restrictive conditions are also given with detailed comparisons provided for two and three state chains.

Keywords: Markov Chain; Transition Matrix; Independent Trial; Coupling Time; Stationary Probability Vector (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2121-5_18

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DOI: 10.1007/978-3-7908-2121-5_18

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