An almost sure invariance principle for additive functionals of Markov chains

DOI10.1016/J.SPL.2007.09.011MaRDI QIDQ927359zbMATH OpenOpenAlexFDO

Authors Firas Rassoul-Agha, Timo Seppäläinen

Publication date 5 June 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0411603

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We prove an invariance principle (functional central limit theorem) for a vector-valued additive functional of a Markov chain for almost every starting point with respect to an ergodic equilibrium distribution. The hypothesis is a moment bound on the resolvent.

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Cites work

• An almost sure invariance principle for random walks in a space-time random environment
• Ballistic random walk in a random environment with a forbidden direction
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Central limit theorems for additive functionals of Markov chains.
• Fractional Poisson equations and ergodic theorems for fractional coboundaries
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Quenched invariance principle for multidimensional ballistic random walk in a random environment with a forbidden direction
• The central limit theorem for Markov chains started at a point

Cited in

(11)

• Analysis of random walks in dynamic random environments via \(L^2\)-perturbations
• Hilbertian invariance principle for empirical process associated with a Markov process
• Principes d'invariance par moyennisation logarithmique pour les processus de Markov. (Invariance principles with logarithmic averaging for Markov processes)
• On the functional CLT for stationary Markov chains started at a point
• Local invariance principle for Markov chains
• Quenched invariance principles via martingale approximation
• A Fourth Moment Inequality for Functionals of Stationary Processes
• Quenched limit theorems for Fourier transforms and periodogram
• Almost sure invariance principles via martingale approximation
• Pointwise ergodic theorems with rate and application to the CLT for Markov chains
• Random walk in Markovian environment

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