On the $$\alpha $$-lazy version of Markov chains in estimation and testing problems

Abstract

Given access to a single long trajectory generated by an unknown irreducible Markov chain M, we simulate an \(\alpha \)-lazy version of M which is ergodic. This enables us to generalize recent results on estimation and identity testing, that were stated for ergodic Markov chains, in a way that allows fully empirical inference. In particular, our approach shows that the pseudo spectral gap introduced by Paulin (Electron J Probab 20:32, 2015) and defined for ergodic Markov chains may be given a meaning already in the case of irreducible but possibly periodic Markov chains.