Markov Chains – Is Ergodic Markov Chain Irreducible and Aperiodic?

markov chains

As I find some definition says: Ergodic = irreducible. And then Irreducible + aperiodic + positive gives Regular Markov chain.

A Markov chain is called an ergodic chain if it is possible to go from every state to every state (not necessarily in one move).

Ergodic Markov chains are also called irreducible.

A Markov chain is called a regular chain if some power of the
transition matrix has only positive elements.

Reference http://www.math.dartmouth.edu/archive/m20x06/public_html/Lecture15.pdf

However, in others the Regular Markov chain concept doesn't exist. And Ergodic replaces Regular in all literate.

So if our Markov chain is aperiodic, irreducible, and positive recurrent (all the ones we use in Bayesian statistics usually are), then it is ergodic.

we shall sometimes refer to an irreducible, aperiodic Markov chain as ergodic

Reference http://www.people.fas.harvard.edu/~plam/teaching/methods/mcmc/mcmc_print.pdf

http://www.cs.berkeley.edu/~sinclair/cs294/n2.pdf

Best Answer

I prefer the first definition by far. I relate the question to ergodic theory, as seems appropriate, and assume that the chain hass finitely many possible values, so as to not bother with positive recurrence.

Let us consider a finite state space $A$, and denote all the possible sequences of element in $A$ by $X:=A^{\mathbb{N}}$. Let us define a transformation $\sigma$ on $X$ by $(\sigma x)_n = x_{n+1}$ on $X$. For $x \in X$, we have $x_n = (\sigma^n x)_0$. In other words, by applying the transformation $\sigma$, I can read the successive values of a given sequence.

Now, let us take some probability measure $\mu$ on $A$ with full support (so as to see everything), and a stochastic matrix $P$ (the transition kernel). Using $\mu$ as the distribution of $X_0$ and the matrix $P$ to define transitions, we get a Markov chain $(X_n)_{n \geq 0} = x = ((\sigma^n x)_0)_{n \geq 0}$, which is a stochastic process with values in $A$. The distribution of $(X_n)_{n \geq 0}$ is a measure $\overline{\mu}$ on $A^{\mathbb{N}}$ which satisfies the usual conditions on cylinders, and whose first marginal is $\mu$.

The construction may look a bit confusing. However, if you forget about $\sigma$, it is what is done more or less informally when one defines Markov chains (that is the construction may be hidden, but it is there).

Hence, we can consider a Markov chain as a dynamical system $(X, \sigma)$ together with a probability measure $\overline{\mu}$. We can use the definitions of ergodic theory, and what we get in the end is that:

  • the system $(X, \sigma, \overline{\mu})$ is measure-preserving if and only if $\mu$ is stationnary for $P$;
  • the system $(X, \sigma, \overline{\mu})$ is ergodic (in the sense of ergodic theory) if and only if the Markov chain is irreducible;
  • the system $(X, \sigma, \overline{\mu})$ is mixing if and only if the Markov chain is irreducible and aperiodic.

So these are two very different conditions, and aperiodicity does not correspond to ergodicity. As a corollary, one can apply ergodic theorems to Markov chains with no need for aperiodicity.