Limit theorems for stationary Markov processes with L^2-spectral gap

DOI10.1214/11-AIHP413MaRDI QIDQ424699zbMATH OpenOpenAlexFDO

Authors Déborah Ferré, Loïc Hervé, James Ledoux

Publication date 4 June 2012

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4579, https://projecteuclid.org/euclid.aihp/1334148205

zbMATH Keywords

central limit theoremEdgeworth expansionfunctional central limit theoremadditive functionallocal limit theoremgeometric ergodicityBerry-Esseen theoremMarkov additive process\(\rho\)-mixing Markov chain\(L^2\)-spectral gap property\(M\)-estimatordiscrete or continuous-time Markov processFourier operatorMarkov random walkstationary Markov processuniform ergodicity

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Ergodic theorems, spectral theory, Markov operators (37A30) Local time and additive functionals (60J55)

Abstract: Let $(X_t,Y_t{)}_{tinT}$ be a discrete or continuous-time Markov process with state space $Ximes{R}^d$ where $X$ is an arbitrary measurable set. Its transition semigroup is assumed to be additive with respect to the second component, i.e. $(X_t,Y_t{)}_{tinT}$ is assumed to be a Markov additive process. In particular, this implies that the first component $(X_t{)}_{tinT}$ is also a Markov process. Markov random walks or additive functionals of a Markov process are special instances of Markov additive processes. In this paper, the process $(Y_t{)}_{tinT}$ is shown to satisfy the following classical limit theorems: (a) the central limit theorem, (b) the local limit theorem, (c) the one-dimensional Berry-Esseen theorem, (d) the one-dimensional first-order Edgeworth expansion, provided that we have sup{tin(0,1]cap T : E{pi,0}[|Y_t| ^{alpha}] < 1 with the expected order with respect to the independent case (up to some $varepsilon>0$ for (c) and (d)). For the statements (b) and (d), a Markov nonlattice condition is also assumed as in the independent case. All the results are derived under the assumption that the Markov process $(X_t{)}_{tinT}$ has an invariant probability distribution $pi$, is stationary and has the $L^2(pi)$-spectral gap property (that is, $$ is $ho$-mixing in the discrete-time case). The case where $(X_t{)}_{tinT}$ is non-stationary is briefly discussed. As an application, we derive a Berry-Esseen bound for the M-estimators associated with $ho$-mixing Markov chains.

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