A note on asymptotic expansions for Markov chains using operator theory

DOI10.1016/0196-8858(87)90016-9zbMath0635.60024OpenAlexW2004338565MaRDI QIDQ1097570

Jens Ledet Jensen

Publication date: 1987

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0196-8858(87)90016-9

zbMATH Keywords

eigenvalue decompositionconditional moment and ergodicity conditionsdecomposition of the characteristic function of a sum of random variablesexponentially fast convergence of the shift operator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (7)

Spectral theory and limit theorems for geometrically ergodic Markov processes ⋮ Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ Validity of the formal Edgeworth expansion when the underlying distribution is partly discrete ⋮ SPRT and CUSUM in hidden Markov models ⋮ Phase transitions and metastability in Markovian and molecular systems ⋮ Sharp asymptotics of large deviations for general state-space Markov-additive chains in \(\mathbb{R}^d\) ⋮ Saddlepoint expansions for sums of Markov dependent variables on a continuous state space

Cites Work

• Large deviations of uniformly recurrent Markov additive processes
• Asymptotic expansions for sums of weakly dependent random vectors
• Central limit theorems and statistical inference for finite Markov chains
• More Exact Statement of Limit Theorems for Homogeneous Markov Chains
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