Geometrically ergodic chains are exponentially strongly mixing:
ProvedMarkovChainCLT.alphaMixingCoef_exp_of_geometricallyErgodicLet be a Markov chain with transition kernel on a state space , Harris ergodic with invariant probability distribution , and suppose the chain is geometrically ergodic: there are a function and a constant with
Then the stationary chain (started from ) is exponentially fast strongly mixing: there exist constants and such that its strong mixing coefficients satisfy
This is the sentence of the source that the geometric cases of Corollaries 2 and 3 actually consume: "geometrically ergodic Markov chains enjoy exponentially fast strong mixing" (Jones 2004, §3, immediately after the coupling bound of Theorem 2(ii)). It is what Theorem 6 (Doukhan–Massart–Rio) and Theorem 5(ii) (Ibragimov–Linnik) need as input, and it replaces the intermediate claim that the rate constant itself may be taken -integrable — a claim which is false on general state spaces (the countdown chain on a countable–cocountable space, disproved on this platform as geometricallyErgodic_integrable_rate) even though its mixing consequence survives.
Why the statement holds on an arbitrary measurable space. The countdown counterexample only refutes integrability of the given constant: there is a point mass, the stationary chain is constant, and every is . The general statement reduces to the countably generated case. Each event in the past and future -algebras of the coordinate process is measurable for the process -algebra generated by countably many measurable subsets of , and a single countable family realises every up to a factor simultaneously (exists_countable_alpha_witnesses). Closing that family under finite Boolean operations and under the maps , , yields a countably generated sub--algebra on which is again a Markov kernel; is invariant, total variation over -sets is dominated by total variation over all sets, so Harris ergodicity and geometric ergodicity (same , ) pass to the restricted chain, and its path law is the restriction of chainMeasure P π to the -cylinders. The countably generated case is the classical Meyn–Tweedie route: geometric ergodicity yields a geometric drift function towards a small set (Theorem 15.0.1), (Theorem 14.3.7), a total-variation rate with constant proportional to (Remark 1 of the source), and finally by Theorem 2(ii).
Formalization Note "Harris ergodic" is the mission's total-variation encoding (HarrisErgodic: invariant and for every ), and geometric ergodicity is GeometricallyErgodic from Def_MarkovErgodicity, with a pointwise finite but not necessarily measurable or integrable constant . The mixing coefficient is alphaMixingCoef of the coordinate process under the stationary path law chainMeasure P π, the same object bounded by alpha_mixing_le_tv_rate. The bound is asked for at every lag including , which costs nothing since . No countably generated hypothesis is imposed, so the statement can be cited by Corollaries 2 and 3 as formalized.
import Definitions.Def_MarkovErgodicity import Definitions.Def_MarkovChainPathMeasure import Definitions.Def_MixingCoefficients open MeasureTheory ProbabilityTheory Filter open scoped ENNReal NNReal Topology ProbabilityTheory
theorem MarkovChainCLT.alphaMixingCoef_exp_of_geometricallyErgodic {X : Type*} [MeasurableSpace X]
(P : Kernel X X) [IsMarkovKernel P] (π : Measure X) [IsProbabilityMeasure π]
(hP : HarrisErgodic P π) (hgeo : GeometricallyErgodic P π) :
∃ c a : ℝ, 0 ≤ c ∧ 0 ≤ a ∧ a < 1 ∧
∀ n : ℕ, alphaMixingCoef (chainMeasure P π) (fun i (ω : ℕ → X) => ω i) n ≤ c * a ^ n := by sorry