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

S. Sethuraman, S. R.S. Varadhan

Research output: Contribution to journalArticlepeer-review

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

Keywords

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

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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