State-discretization of $V$-geometrically ergodic Markov chains and convergence to the stationary distribution

Abstract

Let $(X_n{)}_{n\in \mathbb{N}}$ be a $V$-geometrically ergodic Markov chain on a measurable space $\mathbb{X}$ with invariant probability distribution $\pi$. In this paper, we propose a discretization scheme providing a computable sequence $({\hat{\pi }}_k{)}_{k\ge 1}$ of probability measures which approximates $\pi$ as $k$ growths to infinity. The probability measure ${\hat{\pi }}_k$ is computed from the invariant probability distribution of a finite Markov chain. The convergence rate in total variation of $({\hat{\pi }}_k{)}_{k\ge 1}$ to $\pi$ is given. As a result, the specific case of first order autoregressive processes with linear and non-linear errors is studied. Finally, illustrations of the procedure for such autoregressive processes are provided, in particular when no explicit formula for $\pi$ is known.

Submitted 22 november 2018