Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.

Abstract

We consider a $\psi$-irreducible, discrete-time Markov chain on a general state space with transition kernel $P$. Under suitable conditions on the chain, kernels can be treated as bounded linear operators between spaces of functions or measures and the Drazin inverse of the kernel operator $I - P$ exists. The Drazin inverse provides a unifying framework for objects governing the chain. This framework is applied to derive a computational technique for the asymptotic variance in the central limit theorems of univariate and higher-order partial sums. Higher-order partial sums are treated as univariate sums on a `sliding-window' chain. Our results are demonstrated on a simple AR(1) model and suggest a potential for computational simplification.