Asymptotic variance of stationary reversible and normal Markov processes
Probability
2014-05-13 v1
Abstract
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 .
Keywords
Cite
@article{arxiv.1405.2411,
title = {Asymptotic variance of stationary reversible and normal Markov processes},
author = {George Deligiannidis and Magda Peligrad and Sergey Utev},
journal= {arXiv preprint arXiv:1405.2411},
year = {2014}
}