A Martingale Proof of Dobrushin's Theorem for Non-Homogeneous Markov Chains
Sunder Sethuraman, Iowa State University, USA
Srinivasa S.R. Varadhan, New York University - Courant Institute, USA
Abstract
In 1956, Dobrushin proved
an important central limit theorem for
non-homogeneous Markov chains. In this note, a shorter and
different proof elucidating
more the assumptions is given through martingale approximation.
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