The central limit theorem for uniformly strong mixing measures

DOI10.1142/S0219493712500062zbMATH Open1318.60030arXiv0903.1325OpenAlexW2963381304MaRDI QIDQ3144367FDOQ3144367

Authors: Nicolai Haydn 

Publication date: 7 December 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: The theorem of Shannon-McMillan-Breiman states that for every generating partition on an ergodic system, the exponential decay rate of the measure of cylinder sets equals the metric entropy almost everywhere (provided the entropy is finite). In this paper we prove that the measure of cylinder sets are lognormally distributed for strongly mixing systems and infinite partitions and show that the rate of convergence is polynomial provided the fourth moment of the information function is finite. Also, unlike previous results by Ibragimov and others which only apply to finite partitions, here we do not require any regularity of the conditional entropy function. We also obtain the law of the iterated logarithm and the weak invariance principle for the information function.

Full work available at URL: https://arxiv.org/abs/0903.1325

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zbMATH Keywords

central limit theoremStein's methodinvariant measureslaw of the iterated logarithmweak invariance principleuniformly strong mixing measures

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Cites Work

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Cited In (7)

• FLUCTUATIONS OF THE METRIC ENTROPY FOR MIXING MEASURES
• The almost sure invariance principle for beta-mixing measures
• A general central limit theorem for strong mixing sequences
• Multiple Borel-Cantelli lemma in dynamics and multilog law for recurrence
• The distribution of the measure of cylinder sets for non-Gibbsian measures
• Title not available (Why is that?)
• Almost sure central limit theorems for strongly mixing and associated random variables

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