Empirical processes of multidimensional systems with multiple mixing properties (Q544505): Difference between revisions

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Property / author: Herold G. Dehling / rank
 
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Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process and \(({\mathcal B},\|\cdot\|)\) be a Banach space of measurable functions \(\varphi:\mathbb R^d\to\mathbb R\). We say that \((X_i)_{i\geq 0}\) has the multiple mixing property with respect to \({\mathcal B}\) if there exist constants \(0<\theta<1\) and \(r\geq 1\) such that, for any positive integer \(p\), there exist a positive constant \(C\) and an integer \(\ell\) for which the assertion holds that, for any positive integers \(i_1,\dots,i_p\), \(1\leq q\leq p\) and \(\varphi\in{\mathcal B}\) \((E_\nu(\varphi)=0\), \(\|\varphi\|_\infty\leq 1)\), \[ \big|\text{Cov}(\varphi(X_0)\varphi(X_{i_1^*})\cdots \varphi(X_{i_{q-1}^*}), \varphi(X_{i_q^*}\cdots \varphi(X_{i_p^*}))\big|\leq C\|\varphi(X_0)\|_r \|\varphi\|^\ell P(i_1,\dots,i_p)\theta^{i_q}, \] where \(P\) is a polynomial function of \(p\) variables which does not depend on \(\varphi\) and \(i^*= \sum_{j=1}^n i_j\). Among other results, the authors show that, if an \(\mathbb R^d\)-valued stationary process \((X_i)_{i\geq 0}\) has the above property, then, for any \(p\geq 1\), \[ E_\nu\bigg( \sum_{i=0}^{n-1} \varphi(X_i)\bigg)^{2p}\leq K\sum_{i=1}^p n^i\|\varphi(X_0)\|_r^0 \log^{2p-i}(\|\varphi\|+\theta^{-1}), \] where \(K\) is a constant which does not depend on \(n\), \(\varphi\) or \(r\geq 1\). Now, let \({\mathcal H}^\alpha\) be the Banach space of bounded \(\alpha\)-Hölder continuous functions \((0<\alpha\leq 1)\) equipped with the norm \[ \|g\|= \|g\|_\infty+ \sup_{x\neq y\in\mathbb R^d} \frac{|g(x)-g(y)|}{|x-y|^\alpha}. \] Using the above inequality, the authors establish the following theorem. Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process with multivariate marginal distribution function \(F(t)\) satisfying the multiple mixing property with respect to \({\mathcal H}^\alpha\), and define the empirical distribution function \(F_n(t)\) and the empirical processes \(\{U_n(t): t\in\mathbb R^d\}\). Assume that, for all \(\phi\in{\mathcal H}^\alpha\), the partial sums \(\sum_{i=1}^n \phi(X_i)\) satisfy the central limit theorem, i.e., \[ \frac{1}{\sqrt{n}} \sum_{i=1}^n \big(\phi(X_i)-E\phi(X_1)\big)\to N(0,\sigma^2), \] where \(\sigma^2= \text{Var}(\phi(X_1))+ 2\sum_{i=2}^\infty \text{Cov}(\phi(X_i), \phi(X_1))>0\) and that, for some \(\gamma>r\), \(\omega(\delta)= O(|\log(\delta)|^\gamma)\) holds, where \(\omega\) denotes the modulus of continuity of \(F\). Then, for \((X_i)_{i\geq 0}\) the empirical process central limit theorem holds. As an application of the result, the empirical process invariance principle for ergodic torus automorphisms is obtained. The results are also applied to Markov chains and dynamical systems having a spectral gap.
Property / review text: Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process and \(({\mathcal B},\|\cdot\|)\) be a Banach space of measurable functions \(\varphi:\mathbb R^d\to\mathbb R\). We say that \((X_i)_{i\geq 0}\) has the multiple mixing property with respect to \({\mathcal B}\) if there exist constants \(0<\theta<1\) and \(r\geq 1\) such that, for any positive integer \(p\), there exist a positive constant \(C\) and an integer \(\ell\) for which the assertion holds that, for any positive integers \(i_1,\dots,i_p\), \(1\leq q\leq p\) and \(\varphi\in{\mathcal B}\) \((E_\nu(\varphi)=0\), \(\|\varphi\|_\infty\leq 1)\), \[ \big|\text{Cov}(\varphi(X_0)\varphi(X_{i_1^*})\cdots \varphi(X_{i_{q-1}^*}), \varphi(X_{i_q^*}\cdots \varphi(X_{i_p^*}))\big|\leq C\|\varphi(X_0)\|_r \|\varphi\|^\ell P(i_1,\dots,i_p)\theta^{i_q}, \] where \(P\) is a polynomial function of \(p\) variables which does not depend on \(\varphi\) and \(i^*= \sum_{j=1}^n i_j\). Among other results, the authors show that, if an \(\mathbb R^d\)-valued stationary process \((X_i)_{i\geq 0}\) has the above property, then, for any \(p\geq 1\), \[ E_\nu\bigg( \sum_{i=0}^{n-1} \varphi(X_i)\bigg)^{2p}\leq K\sum_{i=1}^p n^i\|\varphi(X_0)\|_r^0 \log^{2p-i}(\|\varphi\|+\theta^{-1}), \] where \(K\) is a constant which does not depend on \(n\), \(\varphi\) or \(r\geq 1\). Now, let \({\mathcal H}^\alpha\) be the Banach space of bounded \(\alpha\)-Hölder continuous functions \((0<\alpha\leq 1)\) equipped with the norm \[ \|g\|= \|g\|_\infty+ \sup_{x\neq y\in\mathbb R^d} \frac{|g(x)-g(y)|}{|x-y|^\alpha}. \] Using the above inequality, the authors establish the following theorem. Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process with multivariate marginal distribution function \(F(t)\) satisfying the multiple mixing property with respect to \({\mathcal H}^\alpha\), and define the empirical distribution function \(F_n(t)\) and the empirical processes \(\{U_n(t): t\in\mathbb R^d\}\). Assume that, for all \(\phi\in{\mathcal H}^\alpha\), the partial sums \(\sum_{i=1}^n \phi(X_i)\) satisfy the central limit theorem, i.e., \[ \frac{1}{\sqrt{n}} \sum_{i=1}^n \big(\phi(X_i)-E\phi(X_1)\big)\to N(0,\sigma^2), \] where \(\sigma^2= \text{Var}(\phi(X_1))+ 2\sum_{i=2}^\infty \text{Cov}(\phi(X_i), \phi(X_1))>0\) and that, for some \(\gamma>r\), \(\omega(\delta)= O(|\log(\delta)|^\gamma)\) holds, where \(\omega\) denotes the modulus of continuity of \(F\). Then, for \((X_i)_{i\geq 0}\) the empirical process central limit theorem holds. As an application of the result, the empirical process invariance principle for ergodic torus automorphisms is obtained. The results are also applied to Markov chains and dynamical systems having a spectral gap. / rank
 
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Property / reviewed by
 
Property / reviewed by: Ken-ichi Yoshihara / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60F17 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60G10 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 62G30 / rank
 
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 5908024 / rank
 
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Property / zbMATH Keywords
 
multivariate empirical processes
Property / zbMATH Keywords: multivariate empirical processes / rank
 
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Property / zbMATH Keywords
 
multiple mixing property
Property / zbMATH Keywords: multiple mixing property / rank
 
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Property / zbMATH Keywords
 
dynamical systems
Property / zbMATH Keywords: dynamical systems / rank
 
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Property / zbMATH Keywords
 
spectral gap property
Property / zbMATH Keywords: spectral gap property / rank
 
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Property / zbMATH Keywords
 
ergodic torus automorphisms
Property / zbMATH Keywords: ergodic torus automorphisms / rank
 
Normal rank

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Empirical processes of multidimensional systems with multiple mixing properties
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    Empirical processes of multidimensional systems with multiple mixing properties (English)
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    15 June 2011
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    Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process and \(({\mathcal B},\|\cdot\|)\) be a Banach space of measurable functions \(\varphi:\mathbb R^d\to\mathbb R\). We say that \((X_i)_{i\geq 0}\) has the multiple mixing property with respect to \({\mathcal B}\) if there exist constants \(0<\theta<1\) and \(r\geq 1\) such that, for any positive integer \(p\), there exist a positive constant \(C\) and an integer \(\ell\) for which the assertion holds that, for any positive integers \(i_1,\dots,i_p\), \(1\leq q\leq p\) and \(\varphi\in{\mathcal B}\) \((E_\nu(\varphi)=0\), \(\|\varphi\|_\infty\leq 1)\), \[ \big|\text{Cov}(\varphi(X_0)\varphi(X_{i_1^*})\cdots \varphi(X_{i_{q-1}^*}), \varphi(X_{i_q^*}\cdots \varphi(X_{i_p^*}))\big|\leq C\|\varphi(X_0)\|_r \|\varphi\|^\ell P(i_1,\dots,i_p)\theta^{i_q}, \] where \(P\) is a polynomial function of \(p\) variables which does not depend on \(\varphi\) and \(i^*= \sum_{j=1}^n i_j\). Among other results, the authors show that, if an \(\mathbb R^d\)-valued stationary process \((X_i)_{i\geq 0}\) has the above property, then, for any \(p\geq 1\), \[ E_\nu\bigg( \sum_{i=0}^{n-1} \varphi(X_i)\bigg)^{2p}\leq K\sum_{i=1}^p n^i\|\varphi(X_0)\|_r^0 \log^{2p-i}(\|\varphi\|+\theta^{-1}), \] where \(K\) is a constant which does not depend on \(n\), \(\varphi\) or \(r\geq 1\). Now, let \({\mathcal H}^\alpha\) be the Banach space of bounded \(\alpha\)-Hölder continuous functions \((0<\alpha\leq 1)\) equipped with the norm \[ \|g\|= \|g\|_\infty+ \sup_{x\neq y\in\mathbb R^d} \frac{|g(x)-g(y)|}{|x-y|^\alpha}. \] Using the above inequality, the authors establish the following theorem. Let \((X_i)_{i\geq 1}\) be an \(\mathbb R^d\)-valued stationary stochastic process with multivariate marginal distribution function \(F(t)\) satisfying the multiple mixing property with respect to \({\mathcal H}^\alpha\), and define the empirical distribution function \(F_n(t)\) and the empirical processes \(\{U_n(t): t\in\mathbb R^d\}\). Assume that, for all \(\phi\in{\mathcal H}^\alpha\), the partial sums \(\sum_{i=1}^n \phi(X_i)\) satisfy the central limit theorem, i.e., \[ \frac{1}{\sqrt{n}} \sum_{i=1}^n \big(\phi(X_i)-E\phi(X_1)\big)\to N(0,\sigma^2), \] where \(\sigma^2= \text{Var}(\phi(X_1))+ 2\sum_{i=2}^\infty \text{Cov}(\phi(X_i), \phi(X_1))>0\) and that, for some \(\gamma>r\), \(\omega(\delta)= O(|\log(\delta)|^\gamma)\) holds, where \(\omega\) denotes the modulus of continuity of \(F\). Then, for \((X_i)_{i\geq 0}\) the empirical process central limit theorem holds. As an application of the result, the empirical process invariance principle for ergodic torus automorphisms is obtained. The results are also applied to Markov chains and dynamical systems having a spectral gap.
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    multivariate empirical processes
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    multiple mixing property
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    dynamical systems
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    spectral gap property
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    ergodic torus automorphisms
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