A central limit theorem for adaptive and interacting Markov chains

Central and Local Limit Theories in Markov Dependent Random Variables

Fluctuations of Interacting Markov Chain Monte Carlo Methods

We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their empirical occupation measures. We develop an original theoretical analysis based on resolvent operators a...

The Central Limit Theorem for the Normalized Sums of Extended Sliding Block Codes from Sequences of Markov Chains with Time Delay

We extend the sliding block code in symbolic dynamics to transform two sequences of Markov chains with time delay. Under the assumption that chains are irreducible and aperiodic, we prove the central limit theorem (CLT) for the normalized sums of extended sliding block codes from two sequences of Markov chains. We apply the theorem to evaluations of bit error probabilities in asynchronous sprea...

Central Limit Theorems for Conditional Markov Chains

This paper studies Central Limit Theorems for real-valued functionals of Conditional Markov Chains. Using a classical result by Dobrushin (1956) for non-stationary Markov chains, a conditional Central Limit Theorem for fixed sequences of observations is established. The asymptotic variance can be estimated by resampling the latent states conditional on the observations. If the conditional means...

Central Limit Theorem for Hitting times of Functionals of Markov Jump Processes

A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications. Mathem...