Variance bounding Markov chains

Abstract

We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all L² functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis–Hastings algorithms.