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The central limit theorem for Markov chains with general state space
S. V. Nagaev Sobolev Institute of Mathematics, Novosibirsk, 630090 Russia
Abstract:
We consider a Markov chain with general state space and an embedded Markov chain sampled at the times of successive returns to a subset $A_0$ of the state space. We assume that the latter chain is uniformly ergodic but the original Markov chain need not possess this property. We develop a modification of the spectral method and utilize it in proving the central limit theorem for the Markov chain under consideration.
Key words:
central limit theorem, Markov chain, transition function, space of complex-valued measures, spectral method, resolvent, kernel of an operator.
Received: 31.07.2017
Citation:
S. V. Nagaev, “The central limit theorem for Markov chains with general state space”, Mat. Tr., 21:1 (2018), 73–124; Siberian Adv. Math., 28:4 (2018), 265–302
Linking options:
https://www.mathnet.ru/eng/mt333 https://www.mathnet.ru/eng/mt/v21/i1/p73
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Abstract page: | 242 | Full-text PDF : | 101 | References: | 34 | First page: | 5 |
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