Central limit theorem for a geometrically ergodic Markov chain
ID: central-limit-theorem-for-a-geometrically-ergodic-markov-chain
For an aperiodic positive Harris recurrent Markov chain with geometric ergodicity, an observable with stationary moment for some satisfies a central limit theorem. Its asymptotic variance is , with stationary covariances. Ergodicity alone does not guarantee this theorem.
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