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A note on variance bounding for continuous time Markov Chains

Leisen, Fabrizio, Prosdocimi, Cecilia (2011) A note on variance bounding for continuous time Markov Chains. Statistics & Probability Letters, 81 (1). pp. 153-156. ISSN 0167-7152. (doi:10.1016/j.spl.2010.10.009) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:36527)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/j.spl.2010.10.009

Abstract

In this paper the notion of variance bounding introduced by Roberts and Rosenthal (2008) is extended to continuous time Markov Chains. Moreover, it is proven that, as in the discrete time case, the notion of variance bounding for reversible Markov Chains is equivalent to the existence of a central limit theorem. A connection with the continuous time Peskun ordering, introduced by Leisen and Mira (2008), concludes the paper.

Item Type: Article
DOI/Identification number: 10.1016/j.spl.2010.10.009
Subjects: Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Fabrizio Leisen
Date Deposited: 07 Jun 2014 09:38 UTC
Last Modified: 16 Nov 2021 10:13 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/36527 (The current URI for this page, for reference purposes)

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