On the CLT for stationary Markov chains with trivial tail sigma field

DOI10.1214/23-ECP509MaRDI QIDQ2686009zbMATH OpenFDO

Authors Magda Peligrad

Publication date 24 February 2023

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.14532

zbMATH Keywords

additive functionalscentral limit theoremMarkov chainstail sigma field

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

Let \((\xi_i)\) be a strictly stationary Markov chain with invariant measure \(\pi\), and \(f\) a measurable function such that \(\int f^2 d\pi<\infty\) and \(\int f d\pi=0\). The main objects of study in the present paper are the partial sums \(S_n=\sum_{i=1}^nf(\xi_i)\). The author shows that if the two-sided tail sigma field of \((\xi_i)\) is trivial and \(\sup_n E(S_n^2)/n<\infty\), then \(S_n/\sqrt{n}\) satisfies a central limit theorem. The class of stationary Markov chains that satisfy the condition of having a trivial two-sided tail sigma field includes absolutely regular Markov chains and interlaced mixing Markov chains, both of which are discussed in detail by the author. The central limit theorem presented here avoids the need for any detailed computation of convergence rates of mixing coefficients, and any random centering.

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Cited in

(7)

• On variance conditions for Markov chain CLTs
• The Tail σ-Field of a Finitely Additive Markov Chain Starting from a Recurrent State
• On the quenched CLT for stationary Markov chains
• On the CLT for stationary Markov chains with trivial tail sigma field
• Linear combinations of i.i.d. Strictly stable variables with random coefficients and their application to anomalous diffusion processes
• Tail triviality for sums of stationary random variables
• On the tvGARCH(1,1) model: existence, CLT, and tail index

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