|
The spectral method and the central limit theorem for general Markov chains
S. V. Nagaev Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk
Abstract:
We consider Markov chains with an arbitrary phase space and develop
a modification of the spectral method that enables us
to prove the central limit theorem (CLT) for non-uniformly
ergodic Markov chains. The conditions imposed on the
transition function are more general than those by Athreya–Ney and
Nummelin. Our proof of the CLT is purely analytical.
Keywords:
transition function, space of complex measures, spectral method, resolvent, kernel of an operator.
Received: 02.03.2016 Revised: 17.08.2016
Citation:
S. V. Nagaev, “The spectral method and the central limit theorem for general Markov chains”, Izv. Math., 81:6 (2017), 1168–1211
Linking options:
https://www.mathnet.ru/eng/im8537https://doi.org/10.1070/IM8537 https://www.mathnet.ru/eng/im/v81/i6/p114
|
|