On the Markov chain central limit theorem

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182 Scopus citations


The goal of this expository paper is to describe conditions which guarantee a central limit theorem for functionals of general state space Markov chains. This is done with a view towards Markov chain Monte Carlo settings and hence the focus is on the connections between drift and mixing conditions and their implications. In particular, we consider three commonly cited central limit theorems and discuss their relationship to classical results for mixing processes. Several motivating examples are given which range from toy one-dimensional settings to complicated settings encountered in Markov chain Monte Carlo.

Original languageEnglish (US)
Pages (from-to)299-320
Number of pages22
JournalProbability Surveys
Issue number1
StatePublished - 2004


  • Central limit theorem
  • Drift condition
  • Markov chain
  • Mixing condition
  • Monte carlo


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