Variational Formulas of Asymptotic Variance for General Discrete-time Markov Chains

DOI10.3150/21-BEJ1458MaRDI QIDQ6357008arXivFDO

Authors Lu-Jing Huang, Yonghua Mao

Publication date 27 December 2020

Published in arXiv

Full work available at URL https://doi.org/10.3150/21-BEJ1458

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

arXiv classification

math.PR

Abstract: The asymptotic variance is an important criterion to evaluate the performance of Markov chains, especially for the central limit theorems. We give the variational formulas for the asymptotic variance of discrete-time (non-reversible) Markov chains on general state space. The variational formulas provide many applications, extending the classical Peskun's comparison theorem to non-reversible Markov chains, and obtaining several comparison theorems between Markov chains with various perturbations.

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