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2020 On the CLT for additive functionals of Markov chains
Magda Peligrad
Electron. Commun. Probab. 25: 1-10 (2020). DOI: 10.1214/20-ECP318

Abstract

In this paper we study the additive functionals of Markov chains via conditioning with respect to both past and future of the chain. We shall point out new sufficient projective conditions, which assure that the variance of partial sums of $n$ consecutive random variables of a stationary Markov chain is linear in $n$. The paper also addresses the central limit theorem problem and is listing several open questions.

Citation

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Magda Peligrad. "On the CLT for additive functionals of Markov chains." Electron. Commun. Probab. 25 1 - 10, 2020. https://doi.org/10.1214/20-ECP318

Information

Received: 29 February 2020; Accepted: 11 May 2020; Published: 2020
First available in Project Euclid: 16 June 2020

zbMATH: 07225533
MathSciNet: MR4112771
Digital Object Identifier: 10.1214/20-ECP318

Subjects:
Primary: 60F05 , 60G05 , 60G10

Keywords: central limit theorem , Markov chains , Projective criteria , variance of partial sums

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