A central limit theorem for the sojourn times of strongly ergodic Markov chains |
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Authors: | E. Bolthausen |
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Affiliation: | Fachbereich Mathematik, Universität Frankfurt, 6000 Frankfurt, F.R.G. |
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Abstract: | Let Xn be an irreducible aperiodic recurrent Markov chain with countable state space I and with the mean recurrence times having second moments. There is proved a global central limit theorem for the properly normalized sojourn times. More precisely, if , then the probability measures induced by {t(n)i/√n?√nπi}i?I(πi being the ergotic distribution) on the Hilbert-space of square summable I-sequences converge weakly in this space to a Gaussian measure determined by a certain weak potential operator. |
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Keywords: | 60F05 60J65 Central limit theorem weak convergence sojourn times strongly ergodic Markov chains |
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