We analyse the $\ell^2(\pi)$-convergence rate of irreducible and aperiodic Markov chains with $N$-band transition probability matrix $P$ and with invariant distribution $\pi$. This analysis is heavily based on: first the study of the essential spectral radius $r\_{ ess}(P\_{ |\ell^2(\pi)})$ of $P\_{ |\ell^2(\pi)}$ derived from Hennion's quasi-compactness criteria; second the connection between the Spectral Gap property (SG$\_2$) of $P$ on $\ell^2(\pi)$ and the $V$-geometric ergodicity of $P$. Specifically, (SG$\_2$) is shown to hold under the condition $ \alpha\_0 := \sum\_{ { m}=-N}^N \limsup\_{ i\rightarrow +\infty} \sqrt{ P(i,i+{ m})\, P^*(i+{ m},i)}\ \textless{ }\, 1 $ Moreover $r\_{ ess}(P\_{ |\ell^2(\pi)}) \leq \alpha\_0$. Effective bounds on the convergence rate can be provided from a truncation procedure.
Categories: math.PR