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Uniform density ratios bound the Dobrushin coefficient
Statement
Let be a probability kernel on a nonempty measurable source space. Suppose a sigma-finite measure on and probability densities satisfy for every and measurable . If and, for every , for -almost every , then the Dobrushin coefficient from Dobrushin contraction coefficient for a probability kernel obeys
Facts & Assumptions
Given: The probability kernel, common dominating measure, normalized densities, and pairwise density-ratio bound in the Statement.
Dobrushin contraction coefficient for a probability kernel: is the supremum over of the event-supremum total-variation distance between and .
Total variation distance for probability laws: For probability measures , .
Proof
Given: The hypotheses in the Statement.
Fix and write , . The assumed ordered-pair bound gives almost everywhere, so . Where , ; where , the same inequality gives . Hence .
Let . For every measurable , . Since , the positive and negative parts have equal integral, and ; equality is attained at . Thus [F2] gives by step 1.1.
The bound in step 2.1 holds for every pair , so taking their supremum in [F1] proves .
Depends on
Used by
Dependency tree · two levels
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Sources
- Nicolas Chopin, Central Limit Theorem for Sequential Monte Carlo Methods and its Application to Bayesian Inference, §3.3 and Appendix A.4 (standard reference, not scraped)
- Hans R. Künsch, Recursive Monte Carlo Filters: Algorithms and Theoretical Analysis, §4.3.1 (standard reference, not scraped)