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2007 On Variance Conditions for Markov Chain CLTs
Olle Haggstrom, Jeffrey Rosenthal
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Electron. Commun. Probab. 12: 454-464 (2007). DOI: 10.1214/ECP.v12-1336

Abstract

Central limit theorems for Markov chains are considered, and in particular the relationships between various expressions for asymptotic variance known from the literature. These turn out to be equal under fairly general conditions, although not always. We also investigate the existence of CLTs, and pose some open problems.

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Olle Haggstrom. Jeffrey Rosenthal. "On Variance Conditions for Markov Chain CLTs." Electron. Commun. Probab. 12 454 - 464, 2007. https://doi.org/10.1214/ECP.v12-1336

Information

Accepted: 16 December 2007; Published: 2007
First available in Project Euclid: 6 June 2016

zbMATH: 1191.60082
MathSciNet: MR2365647
Digital Object Identifier: 10.1214/ECP.v12-1336

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