Central limit theorems for ergodic continuous-time Markov chains with applications to single birth processes

Abstract

We obtain sufficient criteria for central limit theorems (CLTs) for ergodic continuous-time Markov chains (CTMCs). We apply the results to establish CLTs for continuous-time single birth processes. Moreover, we present an explicit expression of the time average variance constant for a single birth process whenever a CLT exists. Several examples are given to illustrate these results.

Keywords

Markov process / single birth processes / central limit theorem (CLT) / ergodicity

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2014 Higher Education Press and Springer-Verlag Berlin Heidelberg