Limit theorems for Markov random walks

DOI10.1016/0167-7152(93)90014-AMaRDI QIDQ1314722zbMATH OpenOpenAlexFDO

Authors Loon Ching Tang

Publication date 12 February 1995

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

Full work available at URL https://doi.org/10.1016/0167-7152(93)90014-a

zbMATH Keywords

central limit theoremlaw of the iterated logarithmlimit theory for the additive component of a Markov random walkstationary distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Review text

This paper is concerned with limit theory for the additive component of a Markov random walk in the case where the modulating Markov chain is on a countable state space and has a stationary distribution. It is shown that the random walk can be built up from i.i.d. sequences of hitting times of states, and a central limit theorem and law of the iterated logarithm are established. The parameters involved in these limit theorems are given explicitly in terms of the transition matrix of the Markov chain.

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Cited in

(17)

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• The ladder variables of a Markov random walk
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• Fluctuation theory of Markov random walks and Markov modulated random difference equations
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• Submultiplicative moments of the supremum of a Markov-modulated random walk
• Local limit theorem for a Markov additive process on with a null recurrent internal Markov chain
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• Central and local limit theorems in Markov dependent random variables

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