A monotonicity in reversible Markov chains

In this paper we identify a monotonicity in all countable-state-space reversible Markov chains and examine several consequences of this structure. In particular, we show that the return times to every state in a reversible chain have a decreasing hazard rate on the subsequence of even times. This mo...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of applied probability 2006-06, Vol.43 (2), p.486-499
Hauptverfasser: Lund, Robert, Zhao, Ying, Kiessler, Peter C.
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:In this paper we identify a monotonicity in all countable-state-space reversible Markov chains and examine several consequences of this structure. In particular, we show that the return times to every state in a reversible chain have a decreasing hazard rate on the subsequence of even times. This monotonicity is used to develop geometric convergence rate bounds for time-reversible Markov chains. Results relating the radius of convergence of the probability generating function of first return times to the chain's rate of convergence are presented. An effort is made to keep the exposition rudimentary.
ISSN:0021-9002
1475-6072
DOI:10.1239/jap/1152413736