Asymptotic variance of stationary reversible and normal Markov processes
classification
🧮 math.PR
keywords
variancemarkovnormalprocessesstationaryalgorithmsasymptoticcentral
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We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class of Metropolis-Hastings algorithms which satisfy a central limit theorem and invariance principle when the variance is not linear in $n$.
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