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arxiv: 1511.01717 · v1 · pith:7HPAPKMWnew · submitted 2015-11-05 · 🧮 math.PR

Computable bounds of {ell}²-spectral gap for discrete Markov chains with band transition matrices

classification 🧮 math.PR
keywords spectralalphabandboundschainsconvergencemarkovrate
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We analyse the $\ell^2(\pi)$-convergence rate of irreducible and aperiodic Markov chains with $N$-band transition probability matrix $P$ and with invariant distribution $\pi$. This analysis is heavily based on: first the study of the essential spectral radius $r\_{ess}(P\_{|\ell^2(\pi)})$ of $P\_{|\ell^2(\pi)}$ derived from Hennion's quasi-compactness criteria; second the connection between the Spectral Gap property (SG$\_2$) of $P$ on $\ell^2(\pi)$ and the $V$-geometric ergodicity of $P$. Specifically, (SG$\_2$) is shown to hold under the condition $ \alpha\_0 := \sum\_{{m}=-N}^N \limsup\_{i\rightarrow +\infty} \sqrt{P(i,i+{m})\, P^*(i+{m},i)}\ \textless{}\, 1 $ Moreover $r\_{ess}(P\_{|\ell^2(\pi)}) \leq \alpha\_0$. Effective bounds on the convergence rate can be provided from a truncation procedure.

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