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

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).