非齐次马氏链的中心极限定理

The Central Limit Theorem for Nonhomogeneous Markov Chains

  • 摘要: 本文将针对非齐次马氏链的转移矩阵列在Cesaro收敛意义下, 利用鞅的中心极限定理证明一个不同于Dobrushin结果的非齐次马氏链的中心极限定理.

     

    Abstract: In this paper, we prove a new central limit theorem for nonhomogeneous Markov chain by using the martingale central limit theorem under the condition of convergence of transition probability matrices for nonhomogeneous Markov chain in Cesaro sense, which can not be implied by Dobrushin's work.

     

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