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arXiv · 1806.04490

Central Limit Theorem for stationary Fleming--Viot particle systems in finite spaces

Tony Lelievre·Loucas Pillaud-Vivien·Julien Reygner
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Abstract

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 results by Del Moral and Miclo [ESAIM: Probab. Statist., 2003] and C{é}rou, Delyon, Guyader and Rousset [arXiv:1611.00515, arXiv:1709.06771].

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Tony Lelievre, Loucas Pillaud-Vivien, Julien Reygner. 2018-10-02. Central Limit Theorem for stationary Fleming--Viot particle systems in finite spaces. https://doi.org/10.30757/alea.v15-43

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