Central Limit Theorem for stationary Fleming-Viot particle systems in finite spaces
Résumé
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 recent results by Cérou, Delyon, Guyader and Rousset [arXiv:1611.00515, arXiv:1709.06771].
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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