Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains

DOI10.1007/978-3-319-40519-3_13MaRDI QIDQ2954049zbMATH OpenOpenAlexFDO

Authors Radosław Adamczak, Witold Bednorz

Publication date 11 January 2017

Published in High Dimensional Probability VII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.3567

zbMATH Keywords

additive functionalslimit theoremsMarkov chainsOrlicz spacestail inequalitiesYoung functions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Discrete-time Markov processes on general state spaces (60J05) Local time and additive functionals (60J55) Renewal theory (60K05)

Abstract: For a Harris ergodic Markov chain $(X_n{)}_{nge0}$, on a general state space, started from the so called small measure or from the stationary distribution we provide optimal estimates for Orlicz norms of sums $su{m}_{i=0}^{a}uf(X_i)$, where $au$ is the first regeneration time of the chain. The estimates are expressed in terms of other Orlicz norms of the function $f$ (wrt the stationary distribution) and the regeneration time $au$ (wrt the small measure). We provide applications to tail estimates for additive functionals of the chain $(X_n)$ generated by unbounded functions as well as to classical limit theorems (CLT, LIL, Berry-Esseen).

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