posted on 2016-01-27, 10:37authored byG. Deligiannidis, M. Peligrad, Sergey Utev
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.
History
Citation
Electronic Journal of Probability, 2015, 20, pp. 1-26 (26)
Author affiliation
/Organisation/COLLEGE OF SCIENCE AND ENGINEERING/Department of Mathematics
Version
VoR (Version of Record)
Published in
Electronic Journal of Probability
Publisher
Institute of Mathematical Statistics (IMS) with Bernoulli Society for Mathematical Statistics and Probability