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Chain CLT from a TV rate: Eπ∣f∣2+δ<∞E_\pi|f|^{2+\delta}<\inftyEπ​∣f∣2+δ<∞, ∑γ(n)δ/(2+δ)<∞\sum \gamma(n)^{\delta/(2+\delta)}<\infty∑γ(n)δ/(2+δ)<∞ (Jones Cor 1)

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MarkovChainCLT.clt_of_tv_rate

by Shuze Chen · Aug 15, 2026 · Mathlib c5ea003 (Lean v4.30.0)

markov-chainsmcmcprobability

Let X={Xn}n≥0X = \{X_n\}_{n \ge 0}X={Xn​}n≥0​ be a Markov chain with transition kernel PPP on a state space X\mathsf{X}X, Harris ergodic with invariant probability distribution π\piπ, and let f:X→Rf : \mathsf{X} \to \mathbb{R}f:X→R be measurable. Write fˉn=n−1∑i=1nf(Xi)\bar f_n = n^{-1} \sum_{i=1}^{n} f(X_i)fˉ​n​=n−1∑i=1n​f(Xi​) for the sample average and Eπf=∫f dπE_\pi f = \int f \, d\piEπ​f=∫fdπ. Suppose the total-variation rate bound ∥Pn(x,⋅)−π∥≤M(x) γ(n)\|P^n(x, \cdot) - \pi\| \le M(x)\, \gamma(n)∥Pn(x,⋅)−π∥≤M(x)γ(n) holds for all xxx and all n≥1n \ge 1n≥1, with M≥0M \ge 0M≥0 integrable with respect to π\piπ and γ≥0\gamma \ge 0γ≥0 nonincreasing, and that for some δ>0\delta > 0δ>0,

Eπ∣f∣2+δ<∞and∑nγ(n)δ/(2+δ)<∞.E_\pi |f|^{2+\delta} < \infty \qquad \text{and} \qquad \sum_n \gamma(n)^{\delta/(2+\delta)} < \infty.Eπ​∣f∣2+δ<∞andn∑​γ(n)δ/(2+δ)<∞.

Then the chain satisfies the central limit theorem for fff: there is a single asymptotic variance σf2≥0\sigma_f^2 \ge 0σf2​≥0 such that for every initial distribution of the chain,

n (fˉn−Eπf)→dN(0,σf2)(n→∞).\sqrt{n}\,\bigl(\bar f_n - E_\pi f\bigr) \xrightarrow{d} N(0, \sigma_f^2) \qquad (n \to \infty).n​(fˉ​n​−Eπ​f)d​N(0,σf2​)(n→∞).

This is the source's master corollary (its eq. (11)): any total-variation rate plus a matching moment yields the CLT, uniformly over initial distributions; all remaining chain CLTs of the mission are specializations.

Formalization Note "Harris ergodic" is encoded by its total-variation characterization: π\piπ is invariant for PPP and ∥Pn(x,⋅)−π∥→0\|P^n(x, \cdot) - \pi\| \to 0∥Pn(x,⋅)−π∥→0 for every starting point xxx (equivalent to the classical aperiodic, ψ\psiψ-irreducible, positive Harris recurrent definition; the "every xxx" quantifier is exactly the Harris property). Convergence in distribution is weak convergence of laws, and N(0,0)N(0, 0)N(0,0) is read as the point mass at 000, which absorbs the source's "σf2>0\sigma_f^2 > 0σf2​>0" caveat.

Preamble
import Definitions.Def_MarkovErgodicity
import Definitions.Def_MarkovChainPathMeasure

open MeasureTheory ProbabilityTheory Filter
open scoped ENNReal NNReal Topology ProbabilityTheory

/-- **Corollary 1**: a Harris ergodic chain with total-variation rate `γ`
(nonnegative, nonincreasing) and integrable constant `M`, and a functional with
`E_π |f|^{2+δ} < ∞` for a `δ > 0` such that `∑_n γ(n)^{δ/(2+δ)} < ∞`, satisfies the
CLT for every initial distribution. -/
Formal statement
theorem MarkovChainCLT.clt_of_tv_rate {X : Type*} [MeasurableSpace X]
    (P : Kernel X X) [IsMarkovKernel P] (π : Measure X) [IsProbabilityMeasure π]
    (hP : HarrisErgodic P π) (f : X → ℝ) (hf : Measurable f)
    (M : X → ℝ) (hM0 : ∀ x, 0 ≤ M x) (hM : Integrable M π)
    (γ : ℕ → ℝ) (hγ0 : ∀ n, 0 ≤ γ n) (hγa : Antitone γ)
    (hrate : ErgodicWithRate P π M γ)
    (δ : ℝ) (hδ : 0 < δ) (hmom : Integrable (fun x => |f x| ^ (2 + δ)) π)
    (hsum : Summable (fun n => γ n ^ (δ / (2 + δ)))) :
    SatisfiesCLT P π f := by sorry
Source
G. L. Jones, "On the Markov Chain Central Limit Theorem", Probability Surveys 1 (2004) 299-320, arXiv math/0409112v2, Corollary 1, eq. (11) (arXiv v2 p. 10; proved there from Theorem 5 via Theorem 2(ii) and Meyn-Tweedie Proposition 17.1.6)
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What the Lean code literally says, in plain math · claude-fable-5

Setting. XXX is an arbitrary type with a measurable-space structure (no countable-generation assumption); PPP is a kernel from XXX to XXX assumed (typeclass) to be a Markov kernel (P(x,⋅)P(x,\cdot)P(x,⋅) a probability measure for every xxx); π\piπ is a measure on XXX assumed (typeclass) to be a probability measure. Hypotheses. (1) Harris ergodicity: π\piπ is invariant for PPP (A↦∫XP(x,A) dπ(x)A \mapsto \int_X P(x,A)\,d\pi(x)A↦∫X​P(x,A)dπ(x) equals π\piπ) and for every x∈Xx \in Xx∈X, dTV(Pn(x,⋅),π)→0d_{TV}(P^n(x,\cdot),\pi) \to 0dTV​(Pn(x,⋅),π)→0 as n→∞n \to \inftyn→∞, where PnP^nPn is the nnn-fold iterate (P0=P^0 =P0= identity kernel, Pn+1=P∘PnP^{n+1} = P \circ P^nPn+1=P∘Pn) and dTV(μ,ν)=sup⁡{ ∣μ(A)−ν(A)∣:A measurable }d_{TV}(\mu,\nu) = \sup\{\,|\mu(A)-\nu(A)| : A \text{ measurable}\,\}dTV​(μ,ν)=sup{∣μ(A)−ν(A)∣:A measurable} (no factor 12\tfrac1221​; measure values sent to reals with ∞↦0\infty \mapsto 0∞↦0; real supremum with junk value 000 on unbounded sets, and the set contains 000 via A=∅A = \varnothingA=∅). (2) f:X→Rf : X \to \mathbb Rf:X→R is measurable. (3) M:X→RM : X \to \mathbb RM:X→R satisfies M(x)≥0M(x) \ge 0M(x)≥0 for all xxx and is integrable with respect to π\piπ (π\piπ-a.e. strongly measurable with ∫∣M∣ dπ<∞\int |M|\,d\pi < \infty∫∣M∣dπ<∞). (4) γ:N→R\gamma : \mathbb N \to \mathbb Rγ:N→R satisfies γ(n)≥0\gamma(n) \ge 0γ(n)≥0 for all nnn and is antitone (nonincreasing: m≤n⇒γ(n)≤γ(m)m \le n \Rightarrow \gamma(n) \le \gamma(m)m≤n⇒γ(n)≤γ(m)). (5) Rate hypothesis: for every x∈Xx \in Xx∈X and every n≥1n \ge 1n≥1, dTV(Pn(x,⋅),π)≤M(x) γ(n)d_{TV}(P^n(x,\cdot), \pi) \le M(x)\,\gamma(n)dTV​(Pn(x,⋅),π)≤M(x)γ(n); nothing is asserted at n=0n = 0n=0. (6) δ\deltaδ is a real number with 0<δ0 < \delta0<δ. (7) The function x↦∣f(x)∣2+δx \mapsto |f(x)|^{2+\delta}x↦∣f(x)∣2+δ is integrable with respect to π\piπ (real-exponent power of the nonnegative base ∣f(x)∣|f(x)|∣f(x)∣, with 02+δ=00^{2+\delta} = 002+δ=0). (8) The series ∑n=0∞γ(n)δ/(2+δ)\sum_{n=0}^{\infty} \gamma(n)^{\delta/(2+\delta)}∑n=0∞​γ(n)δ/(2+δ) is summable (real-exponent powers of the nonnegative reals γ(n)\gamma(n)γ(n); the exponent δ/(2+δ)\delta/(2+\delta)δ/(2+δ) is strictly between 000 and 111; 0δ/(2+δ)=00^{\delta/(2+\delta)} = 00δ/(2+δ)=0; the n=0n = 0n=0 term is included in the sum). Conclusion (fff satisfies the CLT for (P,π)(P,\pi)(P,π), unfolded): there exists a nonnegative real vvv such that for every probability measure λ\lambdaλ on XXX — a single vvv is claimed to work for all λ\lambdaλ; the existential over vvv precedes the universal over λ\lambdaλ — the functions Zn(ω)=n (fˉn(ω)−∫Xf dπ)Z_n(\omega) = \sqrt{n}\,\left(\bar f_n(\omega) - \int_X f\,d\pi\right)Zn​(ω)=n​(fˉ​n​(ω)−∫X​fdπ) converge in distribution to N(0,v)\mathcal N(0,v)N(0,v) as n→∞n \to \inftyn→∞ under the path measure μλ\mu_\lambdaμλ​. Here fˉn(ω)=n−1∑i=0n−1f(ωi+1)\bar f_n(\omega) = n^{-1}\sum_{i=0}^{n-1} f(\omega_{i+1})fˉ​n​(ω)=n−1∑i=0n−1​f(ωi+1​) averages fff over the chain states at times 1,…,n1,\dots,n1,…,n (the time-000 state is never used; at n=0n=0n=0, Lean's 0−1=00^{-1}=00−1=0 and 0=0\sqrt 0 = 00​=0 give Z0=0Z_0 = 0Z0​=0); the centering constant is the π\piπ-mean ∫f dπ\int f\,d\pi∫fdπ for every initial law λ\lambdaλ; μλ\mu_\lambdaμλ​ is the law on N→X\mathbb N \to XN→X of the time-homogeneous Markov chain with transition kernel PPP started with ω0∼λ\omega_0 \sim \lambdaω0​∼λ (Ionescu–Tulcea construction, ωn+1∼P(ωn,⋅)\omega_{n+1} \sim P(\omega_n,\cdot)ωn+1​∼P(ωn​,⋅)); convergence in distribution means ∫g(Zn) dμλ→∫Rg dN(0,v)\int g(Z_n)\,d\mu_\lambda \to \int_{\mathbb R} g\,d\mathcal N(0,v)∫g(Zn​)dμλ​→∫R​gdN(0,v) for every bounded continuous g:R→Rg : \mathbb R \to \mathbb Rg:R→R; and N(0,v)\mathcal N(0,v)N(0,v) is the normal law of mean 000 and variance vvv, equal to the Dirac point mass at 000 when v=0v = 0v=0, so a degenerate limit is allowed.

Human review
  • Endorsed by Community (Bot) · Aug 15, 2026

  • Endorsed by Shuze Chen · Aug 15, 2026

    Confirmed by the mission captain (proposal self-audit).

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