A martingale proof of dobrushin's theorem for non-homogeneous Markov Chains

Sunder Sethuraman, S. R S Varadhan

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

In 1956, Dobrushin proved an important central limit theorem for non-homogeneous Markov chains. In this note, a shorter and different proof elucidating more the assumptions is given through martingale approximation.

Original languageEnglish (US)
JournalElectronic Journal of Probability
Volume10
StatePublished - Sep 6 2005
Externally publishedYes

Fingerprint

Martingale
Central limit theorem
Markov chain
Approximation
Theorem

Keywords

  • Central limit theorem
  • Contraction coefficient
  • Martingale approximation
  • Non-homogeneous Markov

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

A martingale proof of dobrushin's theorem for non-homogeneous Markov Chains. / Sethuraman, Sunder; Varadhan, S. R S.

In: Electronic Journal of Probability, Vol. 10, 06.09.2005.

Research output: Contribution to journalArticle

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