A martingale decomposition for quadratic forms of Markov chains (with applications)

DOI10.1016/J.SPA.2013.09.001zbMATH Open1296.60186OpenAlexW2130910734MaRDI QIDQ2434497FDOQ2434497

Matias D. Cattaneo, Yves F. Atchadé

Publication date: 6 February 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2013.09.001

Recommendations

• A martingale decomposition of discrete Markov chains
• Remarks on limit theorems for reversible Markov processes and their applications
• A limit theorem for quadratic forms and its applications
• scientific article
• \(U\)-statistic processes: A martingale approach

zbMATH Keywords

Markov chain Monte Carlo\(U\)-statisticsMarkov chainsquadratic formscentral limit theoremsmartingale approximations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Consistent Estimation of Scaled Coefficients
• Semiparametric Estimation of Index Coefficients
• Dependent central limit theorems and invariance principles
• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Title not available (Why is that?)
• Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Central limit theorems for additive functionals of Markov chains.
• Recent advances in invariance principles for stationary sequences
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• An Improved Formula for the Asymptotic Variance of Spectrum Estimates
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Approximations and limit theory for quadratic forms of linear processes
• A limit theorem for quadratic forms and its applications
• ORTHOGONAL EXPANSIONS AND U-STATISTICS
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• On weighted \(U\)-statistics for stationary processes.
• Practical drift conditions for subgeometric rates of convergence.
• Semiparametric estimation from time series with long-range dependence
• Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cited In (4)

• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Markov chain Monte Carlo confidence intervals
• ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
• Exponential inequalities for dependent V-statistics via random Fourier features

Uses Software

• BayesDA

This page was built for publication: A martingale decomposition for quadratic forms of Markov chains (with applications)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434497)