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A Regeneration Proof of the Central Limit Theorem for Uniformly Ergodic Markov Chains

机译:一致遍历马尔可夫链中心极限定理的再生证明

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Central limit theorems for functionals of general state space Markov chains are of crucial importance in sensible implementation of Markov chain Monte Carlo algorithms as well as of vital theoretical interest. Different approaches to proving this type of results under diverse assumptions led to a large variety of CLT versions. However due to the recent development of the regeneration theory of Markov chains, many classical CLTs can be reproved using this intuitive probabilistic approach, avoiding technicalities of original proofs. In this paper we provide a characterization of CLTs for ergodic Markov chains via regeneration and then use the result to solve the open problem posed in [Roberts & Rosenthal 2005]. We then discuss the difference between one-step and multiple-step small set condition.
机译:一般状态空间泛函的中心极限定理对于合理地实现马尔可夫链蒙特卡罗算法至关重要,并且具有重要的理论意义。在不同的假设下证明这种类型结果的不同方法导致了多种CLT版本。但是,由于马尔可夫链再生理论的最新发展,许多经典的CLT可以使用这种直观的概率方法加以证明,从而避免了原始证明的技术性。在本文中,我们通过再生为遍历马尔可夫链提供了CLT的表征,然后使用该结果来解决[Roberts&Rosenthal 2005]中提出的开放问题。然后,我们讨论了一步法和多步法小集条件之间的区别。

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