Variance Bounding Markov Chains by Gareth
نویسندگان
چکیده
We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all L functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis-Hastings algorithms.
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Variance Bounding Markov Chains 1203 Theorem
We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all L2 functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Pes...
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