Define
and set
Show that and that , and hence find .
Firstly
Next is
We have therefore shown that , and hence . Hence
Therefore
As , and so
- but we could have worked this out simply by showing that the stationary distribution was !
The formula tells us how quickly the Markov chain converges to its stationary distribution, i.e. the rate of convergence. Very quickly and so the main discrepancy from the stationary distribution is due to terms in .
A matrix is defined to have a left eigenvector with eigenvalue when .
If is a left eigenvector of with eigenvalue then so is for any .
If is a TPM with invariant distribution then is a left eigenvector with eigenvalue , since .
Suppose that with
(i.e. has a single in the column with the other entries zero) and note that
Now is a left eigenvector of and its eigenvalue is since
We will not be explicitly interested in the eigenvectors of (except, of course, for ), but we will use the eigenvalues of , , through the decomposition .
It can be shown that because the entries in any row of a TPM add up to , for all .
Further, if is such that the Markov chain has an asymptotic distribution then is the only eigenvector for which the eigenvalue has modulus . For all other eigenvectors, .
Eigenvalues can be complex (i.e. have real and imaginary parts); we will not be dealing with such cases, but extension is straightforward.
It is usual to set and to arrange the other eigenvalues in order of decreasing magnitude; i.e. .
In the example we showed that
so the eigenvalues of are and .
We then found that
As ,
For any Markov chain with an asymptotic distribution, all eigenvalues except the first have and so as (). The above limit for therefore holds for any such Markov chain.
Quickly and so the main discrepancy between
is due to terms in (check back to the formula for the -step transition matrix). In general the biggest discrepancy from the asymptotic distribution, , is due to the second largest (in modulus) eigenvalue, .
is called the geometric rate of convergence of the Markov chain. The larger the slower the Markov chain is to converge.
NB: If the eigenvalues were then the geometric rate of convergence would still be .