A uniform Berry-Esseen theorem on M-estimators for geometrically ergodic Markov chains
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A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains
A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains
Abstract: Let be a -geometrically ergodic Markov chain. Given some real-valued functional , define , . Consider an estimator , that is, a measurable function of the observations satisfying with 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 satisfies a Berry--Esseen theorem uniformly with respect to the underlying probability distribution of the Markov chain.
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Cited in
(10)- 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
- 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
- Probabilistic limit theorems via the operator perturbation method, under optimal moment assumptions
- On the recurrence set of planar Markov random walks
- Local limit theorem for a Markov additive process on with a null recurrent internal Markov chain
- Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
- The Berry-Esseen bounds for kernel density estimator under dependent sample
- Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system
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