Maximum asymptotic variance of sums of finite Markov chains

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).

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Year of publication:	2001
Authors:	León, Carlos A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 4, p. 413-415
Publisher:	Elsevier
Keywords:	Markov Chain Sample mean Asymptotic variance MCMC Perron-Frobenius eigenvalue

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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