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A central limit theorem for the sojourn times of strongly ergodic Markov chains
Authors:E. Bolthausen
Affiliation:Fachbereich Mathematik, Universität Frankfurt, 6000 Frankfurt, F.R.G.
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 t(n)ink=1i?i(Xk), then the probability measures induced by {t(n)i/√n?√i}i?Ii 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.
Keywords:60F05  60J65  Central limit theorem  weak convergence  sojourn times  strongly ergodic Markov chains
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