On the Markov chain central limit theorem

Details On the Markov chain central limit theorem On the Markov chain central limit theorem

2004-09-07

arxiv.org/abs/math/0409112v2

Mathematics

Probability

Scientific paper

The goal of this expository paper is to describe conditions which guarantee a central limit theorem for functionals of general state space Markov chains. This is done with a view towards Markov chain Monte Carlo settings and hence the focus is on the connections between drift and mixing conditions and their implications. In particular, we consider three commonly cited central limit theorems and discuss their relationship to classical results for mixing processes. Several motivating examples are given which range from toy one-dimensional settings to complicated settings encountered in Markov chain Monte Carlo.

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