Fluctuations of empirical means at low temperature for finite Markov chains with rare transitions in the general case (Q1393074)
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scientific article; zbMATH DE number 1182320
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fluctuations of empirical means at low temperature for finite Markov chains with rare transitions in the general case |
scientific article; zbMATH DE number 1182320 |
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Fluctuations of empirical means at low temperature for finite Markov chains with rare transitions in the general case (English)
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2 March 1999
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The study of the integrated autocovariances and autocorrelation times is crucial to compare different Markovian dynamics which have the same equilibrium probability measure. The authors study these two objects for Markov chains with rare transitions with no reversibility assumption. They give upper bounds for the autocovariance and the integrated autocorrelation time, as well as exponential equivalents at low temperature.
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autocorrelation time
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central limit theorem
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large deviations
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Monte Carlo methods
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