Chain CLT from a TV rate: , (Jones Cor 1)
OpenMarkovChainCLT.clt_of_tv_rateLet be a Markov chain with transition kernel on a state space , Harris ergodic with invariant probability distribution , and let be measurable. Write for the sample average and . Suppose the total-variation rate bound holds for all and all , with integrable with respect to and nonincreasing, and that for some ,
Then the chain satisfies the central limit theorem for : there is a single asymptotic variance such that for every initial distribution of the chain,
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: is invariant for and for every starting point (equivalent to the classical aperiodic, -irreducible, positive Harris recurrent definition; the "every " quantifier is exactly the Harris property). Convergence in distribution is weak convergence of laws, and is read as the point mass at , which absorbs the source's "" caveat.
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. -/
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
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What the Lean code literally says, in plain math · claude-fable-5
Setting. is an arbitrary type with a measurable-space structure (no countable-generation assumption); is a kernel from to assumed (typeclass) to be a Markov kernel ( a probability measure for every ); is a measure on assumed (typeclass) to be a probability measure. Hypotheses. (1) Harris ergodicity: is invariant for ( equals ) and for every , as , where is the -fold iterate ( identity kernel, ) and (no factor ; measure values sent to reals with ; real supremum with junk value on unbounded sets, and the set contains via ). (2) is measurable. (3) satisfies for all and is integrable with respect to (-a.e. strongly measurable with ). (4) satisfies for all and is antitone (nonincreasing: ). (5) Rate hypothesis: for every and every , ; nothing is asserted at . (6) is a real number with . (7) The function is integrable with respect to (real-exponent power of the nonnegative base , with ). (8) The series is summable (real-exponent powers of the nonnegative reals ; the exponent is strictly between and ; ; the term is included in the sum). Conclusion ( satisfies the CLT for , unfolded): there exists a nonnegative real such that for every probability measure on — a single is claimed to work for all ; the existential over precedes the universal over — the functions converge in distribution to as under the path measure . Here averages over the chain states at times (the time- state is never used; at , Lean's and give ); the centering constant is the -mean for every initial law ; is the law on of the time-homogeneous Markov chain with transition kernel started with (Ionescu–Tulcea construction, ); convergence in distribution means for every bounded continuous ; and is the normal law of mean and variance , equal to the Dirac point mass at when , so a degenerate limit is allowed.
Confirmed by the mission captain (proposal self-audit).