THEORY OF PROBABILITY Volume 1 AND ITS APPLICATIONS 1986 aE CENTRAL LIMIT THEOREM FOR NONSTATIONARY MARKOV CHAINS. 1 RL, DOBRUSHIN ‘Section 1 of this article was previously published in this journal (Volume 1, No.1, pp. 65—80, E ys00),T shal not repeat the definitions ana statements of the theorems given there, There one ean also find a lit of references. Because this article is 30 long, I should like to deseribe its contents by section and make some [ emarks for the benefit of the reader. “The detailed enalysis starts fn Section 2, witha construction of S.N. Berashtein’s example of fs Markov chain with ot") ox-¥ and « nonmcrmel Kit distribution, This example is given at fae beginning of the article because I dbink that it wil aid the reader in understanding the ditfi- faltce whose removal motivates the work, Formally, however, the rest of the article (with the ‘eception of several somewhat more complicated examples in Sections § and 10) makes no uve ff the results of Section 2 ‘Section 8 deals with general propertiet of the ergodic coefticient. These properties are of & fundamental importance in what follows, Sections &—7, the core of the articie, are devoted 10 ‘goving Theorem 1, In perticslar, & lower bound for the variance is obtained in Section 4. In Szcton 5 the sum of variables connected by a Mazkov chain is reduced to a sum of independent fariables. Theorem 21s proved a8 a side result at the end of this section. The basic partition (see {Lll))is periormed in Settion8, and Theorein is proved for the condition shat.a(™n} (log n)~* 0, Tiss dove using the results and methods of Section &, The proof of Theorem 1 iinally completed [in Section 7 using martingele theory. ‘Je Section 8 we prove Thoorems 3-8 conceraing the conditions for asymptotic normality of ho suns of independent variables, Theoreme ® and 10 ace proved in Section 9, Section 10 involves generalization of Bernshtcin’s exemple to the case of a sequence of variables connected DY & ‘Gain Finally, Theorem 11 is proved in Section 11. Ia Sections 8 and 9 we omit the proofs which se analogous to those given in earlier sections, We go into detail only when the newly introduced asralizations cast doubt on any point. "hs has boen siated above, Theorem Tis stronger than the proviously known results oven for B theciserete case of 2 denamerable chain, Its general proof involves nothing moce than dose its oot for the discrete cave. It does, however, require the use of some fects from general measure Ecory and Kolmogorov's genorel theory of conditional mathematical expectations. This very enmplicated mathematical apperatus tends to mask the probability-theoretic meaning of the ConniZeratioas, s0 that in various places throughout tho article T have decided to give parallel ‘ovis for both the discrete and general cases. Ia particular, the reader interested only in the fiscrete cate need study only Sections 2~B, using the definitions of Section 1 together with the svat concepts of Maslov theory. Such a reader may omit paragraphs 8.1—2, 8.4, 8.1, 4.6-—10, 55 and 06 The reader Interested in the goneral case wil find the pavegraphs devoted to the Adsorete cane helpful in understanding the abstract discussion. Essentially the only paragraph that ‘ill be supecflagns ie 3.6, Later, n Sections 7—11, I no longer give parallel discussions of the dis- | rote and general case, for this would take up too much space 2. S. N, Bernshtein's Example 2.1, We shall start by constructing an example which shows that if a") ~ ont, the sequence SC may have a distribution which is infinitely divisible, This example is due to S. 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