Normal approximation for functions of hidden Markov models

DOI10.1017/APR.2021.40MaRDI QIDQ5084794zbMATH OpenOpenAlexWikidataFDO

Authors George Kerchev, Christian Houdré

Publication date 28 June 2022

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

Full work available at URL https://arxiv.org/abs/1912.12480

zbMATH Keywords

generalized perturbative approachgerm-grain modelMarkov chainsnormal approximationStein's methodstochastic geometryVoronoi approximation

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: The generalized perturbative approach is an all purpose variant of Stein's method used to obtain rates of normal approximation. Originally developed for functions of independent random variables this method is here extended to functions of the realization of a hidden Markov model. In this dependent setting, rates of convergence are provided in some applications to stochastic geometry, leading, in each instance, to an extra log-factor vis a vis the rate in the independent case.

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Cited in

(2)

• A central limit theorem for the length of the longest common subsequences in random words
• Approximation of stationary processes by hidden Markov models

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