A Martingale Proof of Dobrushin's Theorem for Non-Homogeneous Markov Chains

By S. Sethuraman, S. Varadhan. 2004

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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.

Subfields: Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/30d3448b57906ee7657a58be3638578e36366e96