CLTs and asymptotic variance of time-sampled Markov chains

Krzysztof Latuszynski, Gareth O. Roberts

Published 2011-02-10, updated 2011-06-03Version 2

For a Markov transition kernel $P$ and a probability distribution $ \mu$ on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel $P_{\mu} = \sum_k \mu(k)P^k.$ In this note we obtain CLT conditions for time-sampled Markov chains and derive a spectral formula for the asymptotic variance. Using these results we compare efficiency of Barker's and Metropolis algorithms in terms of asymptotic variance.