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arxiv: 1405.2411 · v1 · pith:3BPFRTYOnew · submitted 2014-05-10 · 🧮 math.PR

Asymptotic variance of stationary reversible and normal Markov processes

classification 🧮 math.PR
keywords variancemarkovnormalprocessesstationaryalgorithmsasymptoticcentral
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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 $n$.

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