Uniform CLT for Markov chains and its invariance principle: A martingale approach

DOI10.1007/BF02218044MaRDI QIDQ1900163zbMATH OpenFDO

Authors Jongsig Bae, Shlomo Levental

Publication date 7 July 1997

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02218044

zbMATH Keywords

invariance principleMarkov chainsmartingalesuniform central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• A central limit theorem under metric entropy with \(L_ 2\) bracketing
• A uniform CLT for uniformly bounded families of martingale differences
• Convergence of stochastic processes
• scientific article; zbMATH DE number 3883309 (Why is no real title available?)
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• scientific article; zbMATH DE number 3204910 (Why is no real title available?)
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• Invariance principles for absolutely regular empirical processes
• Invariance principles for sums of Banach space valued random elements and empirical processes
• On tail probabilities for martingales
• The central limit theorem for stochastic processes

Cited in

(14)

• A uniform CLT for uniformly bounded families of martingale differences
• Weak convergence of some classes of martingales with jumps.
• Donsker theorems for diffusions: necessary and sufficient conditions
• The uniform CLT for martingale difference of function-indexed process under uniformly integrable entropy
• Exponential concentration inequalities for additive functionals of Markov chains
• Nonparametric tests for conditional symmetry in dynamic models
• The uniform CLT for martingale difference arrays under the uniformly integrable entropy
• The laws of the iterated logarithm for the tent map
• Uniform CLT for Markov chains with a countable state space
• Uniform CLT for Markov chains with a countable state space
• Statistical inference with regularized optimal transport
• Global central limit theorems for Markov chains
• Specification tests of parametric dynamic conditional quantiles
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing

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