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

DOI10.1016/J.SPA.2013.09.001MaRDI QIDQ2434497zbMATHOpenAlexFDO

Authors Yves F. Atchadé, Matias D. Cattaneo

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

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)

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Cited in

(5)

• 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
• A martingale decomposition of discrete Markov chains

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Uses Software

• BayesDA

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