Mixing time estimation in reversible Markov chains from a single sample path

ANNALS OF APPLIED PROBABILITY, pp. 2439-2480, 2019.

Cited by: 0|Bibtex|Views56|DOI:https://doi.org/10.1214/18-AAP1457
Other Links: academic.microsoft.com|arxiv.org

Abstract:

The spectral gap gamma(star) of a finite, ergodic and reversible Markov chain is an important parameter measuring the asymptotic rate of convergence. In applications, the transition matrix P may be unknown, yet one sample of the chain up to a fixed time n may be observed. We consider here the problem of estimating gamma(star) from this da...More

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