Abstract
We consider the Fleming-Viot particle system associated with a continuous- time Markov chain in a finite space. Assuming irreducibility, it is known that the particle system possesses a unique stationary distribution, under which its empirical measure converges to the quasistationary distribution of the Markov chain. We complement this Law of Large Numbers with a Central Limit Theorem. Our proof essentially relies on elementary computations on the infinitesimal generator of the Fleming-Viot particle system, and involves the so-called π-return process in the expression of the asymptotic variance. Our work can be seen as an infinite-time version, in the setting of finite space Markov chains, of results by Del Moral and Miclo (2003) and Cérou et al. (2016, 2017).
| Original language | English |
|---|---|
| Pages (from-to) | 1163-1182 |
| Number of pages | 20 |
| Journal | Alea (Rio de Janeiro) |
| Volume | 15 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Jan 2018 |
Keywords
- Central Limit Theorem
- Fleming-Viot particle system
- Stationary distribution
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