Finite-memory elephant random walk and the central limit theorem for additive functionals

DOI10.1214/20-BJPS475MaRDI QIDQ2233657zbMATHOpenAlexFDO

Authors Iddo Ben-Ari, Jonah Green, Taylor Meredith, Hugo Panzo, Xioran Tan

Publication date 11 October 2021

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.05716

zbMATH Keywords

central limit theoremadditive functionalfinite-state Markov chainelephant random walk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

Abstract: The Central Limit Theorem (CLT) for additive functionals of Markov chains is a well known result with a long history. In this paper we present applications to two finite-memory versions of the Elephant Random Walk, solving a problem from arXiv:1812.01915. We also present a derivation of the CLT for additive functionals of finite state Markov chains, which is based on positive recurrence, the CLT for IID sequences and some elementary linear algebra, and which focuses on characterization of the variance.

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Cites work

• A martingale approach for the elephant random walk
• Central limit theorem and related results for the elephant random walk
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Central limit theorem started at a point for stationary processes and additive functionals of reversible Markov chains
• Central limit theorems for additive functionals of Markov chains.
• Markov chains and stochastic stability
• Matrix iterative analysis
• Probability theory
• Probability: a graduate course

Cited in

(2)

• Limit theorems for a random walk with memory perturbed by a dynamical system
• The elephant random walk with gradually increasing memory

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