Stable limits for Markov chains via the principle of conditioning

DOI10.1016/J.SPA.2019.06.002zbMATH Open1434.60070arXiv1808.04329OpenAlexW2886160887WikidataQ115597819 ScholiaQ115597819MaRDI QIDQ1986005FDOQ1986005

Dalibor Volný, Mohamed El Machkouri, Adam Jakubowski

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study limit theorems for partial sums of instantaneous functions of a homogeneous Markov chain on a general state space. The summands are heavy-tailed and the limits are stable distributions. The conditions imposed on the transition operator $P$ of the Markov chain ensure that the limit is the same as if the summands were independent. Such a~scheme admits a physical interpretation, as given in Jara et al. (Ann. Appl. Probab., 19 (2009), 2270--2300). We considerably extend the results of Jara et al., (ibid.) and Cattiaux and Manou-Abi (ESAIM Probab. Stat., 18 (2014), 468--486). We show that the theory holds under the assumption of operator uniform integrability in $L^2$ of $P$ (a notion introduced by Wu (J. Funct. Anal., 172 (2000), 301--376)) plus the $L^2$-spectral gap property. If we strengthen the uniform integrability in $L^2$ to the hyperboundedness, then the $L^2$-spectral gap property can be relaxed to the strong mixing at geometric rate (in practice: to geometric ergodicity). We provide an example of a Markov chain on a countable space that is uniformly integrable in $L^2$ (and admits an $L^2$-spectral gap), while it is not hyperbounded. Moreover, we show by example that hyperboundedness is still a weaker property than $phi$-mixing, what enlarges the range of models of interest. What makes our assumptions working is a new, efficient version of the Principle of Conditioning that operates with conditional characteristic functions rather than predictable characteristics.

Full work available at URL: https://arxiv.org/abs/1808.04329

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zbMATH Keywords

Markov chainsspectral gapstable lawshyperbounednessoperator uniform integrabilityprinciple of conditioning

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05) Transition functions, generators and resolvents (60J35)

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