A uniform Berry-Esseen theorem on M-estimators for geometrically ergodic Markov chains

DOI10.3150/10-BEJ347zbMATH Open1279.60089arXiv1205.2947OpenAlexW2035226468MaRDI QIDQ418248FDOQ418248

Authors: Loïc Hervé, James Ledoux, Valentin Patilea 

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let ${X_n}_{nge0}$ be a $V$-geometrically ergodic Markov chain. Given some real-valued functional $F$, define $M_n(alpha):=n^{-1}su{m}_{k=1}^{n}F(alpha,X_{k-1},X_k)$, $alphainmathcalAsubsetmathbbR$. Consider an $M$ estimator $hat{alpha}_n$, that is, a measurable function of the observations satisfying $M_n(hat{alpha}_n)leqmi{n}_{alphainmathcalA}{M}_n(alpha)+c_n$ with ${c_n}_{ngeq1}$ some sequence of real numbers going to zero. Under some standard regularity and moment assumptions, close to those of the i.i.d. case, the estimator $hat{alpha}_n$ satisfies a Berry--Esseen theorem uniformly with respect to the underlying probability distribution of the Markov chain.

Full work available at URL: https://arxiv.org/abs/1205.2947

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zbMATH Keywords

Markov chainsasymptotic properties of estimatorsweak spectral method

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

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Cited In (10)

• An analytic approach to the Markov chains recursive in the sense of Harris, and the Berry-Esseen estimate
• Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations
• Multidimensional renewal theory in the non-centered case: application to strongly ergodic Markov chains
• Edgeworth expansion for \(M\)-estimators of \(V\)-geometrically ergodic Markov chains
• Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system
• On the recurrence set of planar Markov random walks
• Probabilistic limit theorems via the operator perturbation method, under optimal moment assumptions
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
• Local limit theorem for a Markov additive process on with a null recurrent internal Markov chain
• The Berry-Esseen bounds for kernel density estimator under dependent sample

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