Positive Harris recurrent Markov chain

A Harris recurrent chain visits every measurable set of positive irreducibility measure almost surely. Positive Harris recurrence additionally supplies an invariant probability measure. The ergodic theorem for a positive Harris recurrent Markov chain gives consistency of time averages of integrable functions.

For a positive Harris recurrent Markov chain with invariant probability $\pi$ and $\int |h|d\pi <\infty$, its time average converges almost surely to the invariant expectation:This is the consistency result for Markov chain Monte Carlo averages. Independent-observation variance formulas do not follow from this theorem.