A note on asymptotic expansions for Markov chains using operator theory (Q1097570): Difference between revisions
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Revision as of 18:04, 19 March 2024
scientific article
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| English | A note on asymptotic expansions for Markov chains using operator theory |
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A note on asymptotic expansions for Markov chains using operator theory (English)
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1987
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The author shows that the result of \textit{S. V. Nagaev} [Teor. Veroyatn. Primen 2, 389-416 (1958; Zbl 0078.318); English translation in Theory Probab. Appl. 2, 378-406 (1957)] on the decomposition of the characteristic function of a sum of random variables connected in a Markov chain can be proved under much weaker conditions. In particular he relaxes the conditional moment and ergodicity conditions (requiring exponentially fast convergence of the shift operator in \(L^ p\)-strong operator topology) to derive Nagaev's eigenvalue decomposition which might be used to derive expansion results for sums of Markov chain variables.
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decomposition of the characteristic function of a sum of random variables
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conditional moment and ergodicity conditions
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exponentially fast convergence of the shift operator
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eigenvalue decomposition
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