On the central limit theorem for an ergodic Markov chain (Q689171)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On the central limit theorem for an ergodic Markov chain
scientific article

    Statements

    On the central limit theorem for an ergodic Markov chain (English)
    0 references
    0 references
    21 April 1994
    0 references
    For a Harris ergodic Markov chain \((X_ n)\) and a measurable function \(h\) simple sufficient conditions are provided for the asymptotic normality of sums \(n^{-1/2} \sum^ n_{i=1}h(X_ i)\). \textit{E. Nummelin} [General irreducible Markov chains and non-negative operators (1984; Zbl 0551.60066), see Theorem 7.6] used so-called \(f\)-regularity condition to prove the CLT for such chains. Here a criterion in terms of drift condition (Lyapunov-Foster-Tweedie condition) for the \(f\)- regularity is given and the CLT is obtained by applying this criterion. The result is illustrated with the SETAR(2;1,1) model (appearing in nonlinear time series analysis).
    0 references
    ergodic Markov chain
    0 references
    asymptotic normality
    0 references
    time series analysis
    0 references
    central limit theorem
    0 references

    Identifiers