On the Central Limit Theorem for an ergodic Markov chain

A simple sufficient condition for the Central Limit Theorem for functionals of Harris ergodic Markov chains is derived. The result is illustrated with an example taken from non-linear time series analysis.

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Year of publication:	1993
Authors:	Chan, K. S.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 47.1993, 1, p. 113-117
Publisher:	Elsevier
Keywords:	central limit theorem drift criterion ergodic Markov chain non-linear time series model

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

Persistent link: https://www.econbiz.de/10008874184