- Abstract:
-
Let (Xi)i=0∞ be a V-uniformly ergodic Markov chain on a general state space, and let π be its stationary distribution. For g : χ → R, define It is shown that if |g| ≤ V1/n for a positive integer n, then ExWk(g)n converges to the n-th moment of a normal random variable with expectation 0 and variance This extends the existing Markov-chain central limit theorems, according to which expectations of bounded functionals of Wk(g) converge. We also derive nonasymptotic bounds for the error in approx...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1016/S0019-3577(01)80041-0
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- Journal:
- INDAGATIONES MATHEMATICAE-NEW SERIES
- Volume:
- 12
- Issue:
- 4
- Pages:
- 533-555
- Publication date:
- 2001-12-17
- DOI:
- ISSN:
-
0019-3577
- URN:
-
uuid:4093f2f3-60bb-4a1e-8bea-19c296ee8eb2
- Source identifiers:
-
97800
- Local pid:
- pubs:97800
- Language:
- English
- Copyright date:
- 2001
Journal article
Convergence of moments in a Markov-chain central limit theorem
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