Markov Chain CLTs: Resolving Open Problems

Abstract

Markov chain central limit theorems (CLTs) and their associated variances are very important for implementing Markov chain Monte Carlo algorithms among other applications. Häggström and Rosenthal (2007) presented various results regarding the equality of different formulae for this variance and also posed seven open problems. We resolve all seven in this paper. Our main result is a general characterization of Markov chain CLTs: for stationary and ergodic Markov chains, we prove that the normalized partial sums satisfy a √n-CLT if and only if the Poisson equation admits a finite solution with square-integrable martingale differences whose second moment equals the CLT variance. In particular, this result does not require reversibility of the chain or square integrability of the function. It implies that Roberts' holding-probability condition always precludes a √n-CLT, and for reversible chains, whenever a √n-CLT holds, the variance limit is finite if the function is square-integrable, otherwise undefined. In addition, we develop a general principle that expresses Fourier coefficients as the autocovariances of an ergodic nonreversible Markov chain.

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BibTeX RIS

BibTeX

@misc{brown2026markov,
  title = {{Markov Chain CLTs: Resolving Open Problems}},
  author = {Austin Brown and Jeffrey S. Rosenthal and Quan Zhou},
  howpublished = {arXiv},
  year = {2026},
  month = sep,
  doi = {10.48550/arxiv.2609.07819},
  eprint = {2609.07819},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2609.07819},
}

RIS

TY  - UNPB
TI  - Markov Chain CLTs: Resolving Open Problems
AU  - Austin Brown
AU  - Jeffrey S. Rosenthal
AU  - Quan Zhou
PY  - 2026
DA  - 2026/09/07
PB  - arXiv
DO  - 10.48550/arxiv.2609.07819
UR  - https://arxiv.org/abs/2609.07819
AB  - Markov chain central limit theorems (CLTs) and their associated variances are very important for implementing Markov chain Monte Carlo algorithms among other applications. Häggström and Rosenthal (2007) presented various results regarding the equality of different formulae for this variance and also posed seven open problems. We resolve all seven in this paper. Our main result is a general characterization of Markov chain CLTs: for stationary and ergodic Markov chains, we prove that the normalized partial sums satisfy a √n-CLT if and only if the Poisson equation admits a finite solution with square-integrable martingale differences whose second moment equals the CLT variance. In particular, this result does not require reversibility of the chain or square integrability of the function. It implies that Roberts' holding-probability condition always precludes a √n-CLT, and for reversible chains, whenever a √n-CLT holds, the variance limit is finite if the function is square-integrable, otherwise undefined. In addition, we develop a general principle that expresses Fourier coefficients as the autocovariances of an ergodic nonreversible Markov chain.
ER  -

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