On martingale approximations

DOI10.1214/07-AAP505MaRDI QIDQ957521zbMATH OpenFDO

Authors Ou Zhao, Michael Woodroofe

Publication date 27 November 2008

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

Full work available at URL https://arxiv.org/abs/0708.4183

zbMATH Keywords

co-isometryconditional central limit theoremfractional Poisson equationmartingale approximationnormal operatorplus normshift process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: Consider additive functionals of a Markov chain $W_k$, with stationary (marginal) distribution and transition function denoted by $pi$ and $Q$, say $S_n=g(W_1)+\mathrm{...}+g(W_n)$, where $g$ is square integrable and has mean 0 with respect to $pi$. If $S_n$ has the form $S_n=M_n+R_n$, where $M_n$ is a square integrable martingale with stationary increments and $E(R_n^2)=o(n)$, then $g$ is said to admit a martingale approximation. Necessary and sufficient conditions for such an approximation are developed. Two obvious necessary conditions are $E[E(S_n|W_1{)}^2]=o(n)$ and $li{m}_{noinfty}E(S_n^2)/n<infty$. Assuming the first of these, let $VertgVer{t}_{+}^2=limsu{p}_{noinfty}E(S_n^2)/n$; then $VertcdotVer{t}_{+}$ defines a pseudo norm on the subspace of $L^2(pi)$ where it is finite. In one main result, a simple necessary and sufficient condition for a martingale approximation is developed in terms of $VertcdotVer{t}_{+}$. Let $Q^{\ast }$ denote the adjoint operator to $Q$, regarded as a linear operator from $L^2(pi)$ into itself, and consider co-isometries ($Q{Q}^{\ast }=I$), an important special case that includes shift processes. In another main result a convenient orthonormal basis for $L_0^2(pi)$ is identified along with a simple necessary and sufficient condition for the existence of a martingale approximation in terms of the coefficients of the expansion of $g$ with respect to this basis.

Review text

Let \((W_n)\) be a Markov chain (having values in a measurable space \({\mathcal W}\)) with stationary (marginal) distribution \(\pi\) and let \(g\in L^2(\pi)\) have mean \(0\) w.r.t. \(\pi\). If \(S_n:= g(W_1)+\cdots+ g(W_n)\) is of the form \(S_n= M_n+ R_n\), where \((M_n)\) is a square integrable martingale with stationary increments and \(E[R^2_n]= o(n)\), then \(g\) is said to admit a martingale approximation (MA) (see, e.g., \textit{M. I. Gordin} [Sov. Math., Dokl. 10, 1174--1176 (1969); translation from Dokl. Akad. Nauk SSSR 188, 739--741 (1969; Zbl 0212.50005)], \textit{W. B. Wu} and \textit{M. Woodroofe} [Ann. Probab. 32, No. 2, 1674--1690 (2004; Zbl 1057.60022)] and \textit{O. Zhao} and \textit{M. Woodroofe} [Ann. Probab. 36, No. 1, 127--142 (2008; Zbl 1130.60039)]). The authors obtain conditions which are necessary and sufficient for \(g\) to admit a MA. Applications include Bernoulli shifts, Lebesgue shifts, superlinear processes, the fractional Poisson equation, and the conditional central limit theorem for superlinear processes.

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Cited in

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