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2015 Asymptotic variance of stationary reversible and normal Markov processes
George Deligiannidis, Magda Peligrad, Sergey Utev
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Electron. J. Probab. 20: 1-26 (2015). DOI: 10.1214/EJP.v20-3183

Abstract

We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class of Metropolis-Hastings algorithms which satisfy a central limit theorem and invariance principle when the variance is not linear in $n$

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George Deligiannidis. Magda Peligrad. Sergey Utev. "Asymptotic variance of stationary reversible and normal Markov processes." Electron. J. Probab. 20 1 - 26, 2015. https://doi.org/10.1214/EJP.v20-3183

Information

Accepted: 3 March 2015; Published: 2015
First available in Project Euclid: 4 June 2016

zbMATH: 1321.60070
MathSciNet: MR3325090
Digital Object Identifier: 10.1214/EJP.v20-3183

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JOURNAL ARTICLE
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