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 Electronic Communications in Probability > Vol. 12 (2007) > Paper 44 open journal systems 


On Variance Conditions for Markov Chain CLTs

Olle Haggstrom, Chalmers University of Technology
Jeffrey S. Rosenthal, University of Toronto


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.


Full text: PDF

Pages: 454-464

Published on: December 16, 2007
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Electronic Communications in Probability. ISSN: 1083-589X