Maximum asymptotic variance of sums of finite Markov chains

Carlos A. León

Statistics & Probability Letters, 2001, vol. 54, issue 4, 413-415

Abstract: An optimal bound is given for the asymptotic variance of the empirical mean n-1[summation operator]1nf(Xk), where (Xk) is a finite ergodic Markov chain and f is any bounded function defined on the state space E such that the stationary mean is a fixed number [mu]. This bound depends only on [mu], [lambda] and the endpoints of the support of f(E).

Keywords: Markov; Chain; Sample; mean; Asymptotic; variance; MCMC; Perron-Frobenius; eigenvalue (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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