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Rates of convergence for some classes of Markov chains with polynomial eigenfunctions
Probability| Speaker: | Kshitij Khare, Stanford University |
| Location: | 2112 MSB |
| Start time: | Wed, Sep 24 2008, 4:10PM |
Description
In my talk I will present three families of Markov chains for which the
eigenfunctions turn out to be well-known orthogonal polynomials. This
knowledge can be used to come up with exact rates of convergence for
these families of Markov chains. The first family of examples is
two-component Gibbs samplers involving standard exponential families
and their conjugate priors, the second family of examples is the
multivariate normal autoregressive process and the third family of
examples consists of simple models in population genetics. These are
joint works with Persi Diaconis, Laurent Saloff-Coste and Hua Zhou.