Loi fonctionnelle du logarithme itéré pour les processus de Markov récurrents. (Functional iterated logarithm law for recurrent Markov processes) (Q917149): Difference between revisions
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Latest revision as of 08:14, 10 December 2024
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English | Loi fonctionnelle du logarithme itéré pour les processus de Markov récurrents. (Functional iterated logarithm law for recurrent Markov processes) |
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Loi fonctionnelle du logarithme itéré pour les processus de Markov récurrents. (Functional iterated logarithm law for recurrent Markov processes) (English)
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1990
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Let X be a discrete- or continuous-parameter Harris recurrent Markov process. For additive functionals of X which are close to square integrable martingales with respect to the invariant measure of X, a functional law of the iterated logarithm is given. The proof is based on the Skorokhod embedding technique and the construction of an atom for a Harris chain. Two examples illustrate the use of the law obtained to get the rate of almost sure convergence of an estimator.
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Harris recurrent Markov process
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additive functionals
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invariant measure
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Skorokhod embedding technique
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rate of almost sure convergence
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