Notes About Markov Chain CLTs.pdfVIP

Notes About Markov Chain CLTs [Rough notes by Jeffrey S. Rosenthal, February 2007, based on very helpful conversations with J.P. Hobert, N. Madras, G.O. Roberts, and T. Salisbury. For discussion and clarification only – not for publication. Comments appreciated.] 1. Introduction. These notes concern various issues surrounding central limit theorems (CLTs) for Markov chains, important notably for MCMC algorithms. A number of other papers have discussed related matters ([8], [13], [5], [3], [6], [7]), and probably much of the discussion below is already known, but we wanted to write it up for ou