Central limit theorem for triangular arrays of Non-Homogeneous Markov chains

Details Central limit theorem for triangular arrays of Non-Homogeneous Markov chains Central limit theorem for triangular arrays of Non-Homogeneous Markov chains

2010-12-29

arxiv.org/abs/1012.6000v2

Mathematics

Probability

19 pages, submitted 2010 To appear in Probability Theory and Related Fields

Scientific paper

In this paper we obtain the central limit theorem for triangular arrays of non-homogeneous Markov chains under a condition imposed to the maximal coefficient of correlation. The proofs are based on martingale techniques and a sharp lower bound estimate for the variance of partial sums. The results complement an important central limit theorem of Dobrushin based on the contraction coefficient.

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