Mixing time estimation in reversible Markov chains from a single sample path
ANNALS OF APPLIED PROBABILITY, pp. 2439-2480, 2019.
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
Full Text (Upload PDF)
PPT (Upload PPT)