A Fourth Moment Inequality for Functionals of Stationary Processes

DOI10.1239/JAP/1231340235MaRDI QIDQ5504163zbMATH OpenOpenAlexFDO

Authors Olivier Durieu

Publication date 21 January 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.2980

zbMATH Keywords

dynamical systemempirical distributioninvariance principleMarkov chainstationary process

Mathematics Subject Classification ID

Measure-preserving transformations (28D05) Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Generalized stochastic processes (60G20) Discrete-time Markov processes on general state spaces (60J05)

Abstract: In this paper, a fourth moment bound for partial sums of functional of strongly ergodic Markov chain is established. This type of inequality plays an important role in the study of empirical process invariance principle. This one is specially adapted to the technique of Dehling, Durieu and Voln'y (2008). The same moment bound can be proved for dynamical system whose transfer operator has some spectral properties. Examples of applications are given.

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Cited in

(6)

• Fourth-order moments of nonnegative measures on \(S^ 2\) and applications
• Fourth moments and products: unified estimates
• Approximating class approach for empirical processes of dependent sequences indexed by functions
• Fourth-order moments of augmented arch processes
• Central limit theorem for Markov processes with spectral gap in the Wasserstein metric
• New techniques for empirical processes of dependent data

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