A new CLT for additive functionals of Markov chains

DOI10.1016/J.SPA.2020.04.004zbMATH Open1450.60018arXiv1910.06712OpenAlexW2980920989MaRDI QIDQ2196383FDOQ2196383

Authors: Magda Peligrad 

Publication date: 2 September 2020

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

Abstract: In this paper we study the central limit theorem for additive functionals of stationary Markov chains with general state space by using a new idea involving conditioning with respect to both the past and future of the chain. Practically, we show that any additive functionals of a stationary and totally ergodic Markov chain with the variance of S_n divided by n uniformly bounded, satisfies a square root central limit theorem with a random centering. We do not assume that the Markov chain is irreducible and aperiodic. However, the random centering is not needed if the Markov chain satisfies stronger forms of ergodicity. In absence an ergodicity the convergence in distribution still holds, but the limiting distribution might not be normal.

Full work available at URL: https://arxiv.org/abs/1910.06712

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zbMATH Keywords

central limit theoremMarkov chainsabsolute regularityprojective criteriavariance of partial sums

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (19)

• On the central limit theorem for some birth and death processes
• On the functional CLT for stationary Markov chains started at a point
• On the CLT for stationary Markov chains with trivial tail sigma field
• Additive functionals as rough paths
• Central limit theorems for additive functionals of Markov chains.
• The central limit theorem for Markov chains started at a point
• Title not available (Why is that?)
• A regeneration proof of the central limit theorem for uniformly ergodic Markov chains
• CLT for stationary normal Markov chains via generalized coboundaries
• On the quenched CLT for stationary Markov chains
• Central limit theorem started at a point for stationary processes and additive functionals of reversible Markov chains
• Limit theorems for some functionals with heavy tails of a discrete time Markov chain
• Finite-memory elephant random walk and the central limit theorem for additive functionals
• On the functional central limit theorem for reversible Markov chains with nonlinear growth of the variance
• Central limit theorems for ergodic continuous-time Markov chains with applications to single birth processes
• On the CLT for additive functionals of Markov chains
• Central limit theorem for special classes of functions of ergodic chains
• Central limit theorems for additive functionals of ergodic Markov diffusions processes
• THE CENTRAL LIMIT THEOREM FOR STATIONARY MARKOV CHAINS UNDER INVARIANT SPLITTINGS

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