Estimation of the asymptotic variance in the CLT for Markov chains

Stochastic Models

Volumn 19, Issue 4, 2003, Pages 449-465

  Chauveau, Didier ^a   Diebolt, Jean ^a  

^a UFR des Sciences et Technologie   (France)

Author keywords

Asymptotic variance; Functional CLT; It process; Markov chains; Stochastic process

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; ESTIMATION; MARKOV PROCESSES; MONTE CARLO METHODS; NORMAL DISTRIBUTION; THEOREM PROVING; TIME DOMAIN ANALYSIS;

ASYMPTOTIC VARIANCE; CENTRAL LIMIT THEOREM; CONTINUOUS TIME EMPIRICAL VARIANCE; ITO PROCESS; MONTE CARLO MARKOV CHAIN;

ASYMPTOTIC STABILITY;

EID: 0346780488     PISSN: 15326349     EISSN: None     Source Type: Journal    
DOI: 10.1081/STM-120025399     Document Type: Article

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