Uniform CLT for Markov chains with a countable state space

Uniform CLT for Markov chains with a countable state space

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Article ID: iaor1991636
Country: Netherlands
Volume: 34
Issue: 2
Start Page Number: 245
End Page Number: 253
Publication Date: Apr 1990
Journal: Stochastic Processes and Their Applications
Authors:
Abstract:

For an irreducible Markov chain taking integer values which has a finite second moment for the first return time from some integer to itself, a necessary and sufficient condition for a CLT is found, which is uniform over all subsets of the integers. This is a generalization of one of the results in Durst and Dudley who worked in the i.i.d. case. An example that clarifies the difference between the i.i.d. case and Markov case is presented.

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