On strong stationary times and approximation of Markov chain hitting times by geometric sums

Publication date: Available online 11 March 2019Source: Statistics & Probability LettersAuthor(s): Fraser DalyAbstractFor discrete-time, ergodic Markov chains started from stationarity, Fill and Lyzinski (2014) showed that hitting times may sometimes be represented as geometric sums. We extend this, giving explicit bounds in the approximation of hitting times by appropriately chosen geometric sums.

Source: Statistics and Probability Letters - March 11, 2019 Category: Statistics Source Type: research