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Asymptotic variance of stationary reversible and normal Markov processes

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journal contribution
posted on 2016-01-27, 10:37 authored by G. 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

issn

1083-6489

Acceptance date

2015-02-21

Copyright date

2015

Available date

2016-01-27

Publisher version

http://ejp.ejpecp.org/article/view/3183

Language

en