Abstract
We prove that variance bounding Markov chains, as defined by Roberts and Rosenthal [31], are uniformly mean ergodic in L2 of the invariant probability. For such chains, without any additional mixing, reversibility, or Harris recurrence assumptions, the central limit theorem and the invariance principle hold for every centered additive functional with finite variance. We also show that L2-geometric ergodicity is equivalent to L2-uniform geometric ergodicity. We then specialize the results to random walks on compact Abelian groups, and construct a probability on the unit circle such that the random walk it generates is L2-uniformly geometrically ergodic, but is not Harris recurrent.
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