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).
Volume (Year): 54 (2001)
Issue (Month): 4 (October)
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