A note on variance bounding for continuous time Markov Chains

被引：0

作者：

Leisen, Fabrizio ^{[1
]}

Prosdocimi, Cecilia ^{[2
]}

机构：

[1] Univ Carlos III Madrid, E-28903 Getafe, Spain

[2] Univ Florence, DIMAD, I-50121 Florence, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 01期

关键词：

Variance bounding; Central limit theorems; Peskun ordering; CENTRAL-LIMIT-THEOREM;

D O I：

10.1016/j.spl.2010.10.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper the notion of variance bounding introduced by Roberts and Rosenthal (2008) is extended to continuous time Markov Chains. Moreover, it is proven that, as in the discrete time case, the notion of variance bounding for reversible Markov Chains is equivalent to the existence of a central limit theorem. A connection with the continuous time Peskun ordering, introduced by Leisen and Mira (2008), concludes the paper. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：153 / 156

页数：4

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