A note on variance bounding for continuous time Markov Chains

Fabrizio Leisen and Cecilia Prosdocimi

Statistics & Probability Letters, 2011, vol. 81, issue 1, 153-156

Abstract: 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.

Keywords: Variance; bounding; Central; limit; theorems; Peskun; ordering (search for similar items in EconPapers)
Date: 2011
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