On the CLT for additive functionals of Markov chains

DOI10.1214/20-ECP318zbMATH Open1453.60072arXiv2003.00085MaRDI QIDQ782830FDOQ782830

Authors: Magda Peligrad 

Publication date: 29 July 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this paper we study the additive functionals of Markov chains via conditioning with respect to both past and future of the chain. We shall point out new sufficient projective conditions, which assure that the variance of partial sums of n consecutive random variables of a stationary Markov chain is linear in n. The paper also addresses the central limit theorem problem and is listing several open questions.

Full work available at URL: https://arxiv.org/abs/2003.00085

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• scientific article; zbMATH DE number 1165681
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zbMATH Keywords

central limit theoremMarkov chainsprojective criteriavariance of partial sums

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Foundations of stochastic processes (60G05)

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Cited In (12)

• A new CLT for additive functionals of Markov chains
• Title not available (Why is that?)
• Weak convergence of additive functionals of a sequence of Markov chains
• A central limit theorem for reversible processes with nonlinear growth of variance
• An almost sure invariance principle for additive functionals of Markov chains
• On variance conditions for Markov chain CLTs
• Central limit theorems for additive functionals of Markov chains.
• Additive functionals for discrete-time Markov chains with applications to birth-death processes
• On the quenched CLT for stationary Markov chains
• On the functional central limit theorem for reversible Markov chains with nonlinear growth of the variance
• Strong approximation for additive functionals of geometrically ergodic Markov chains
• Chung's law for additive functionals of positive recurrent Markov chains

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