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

\(\rho\)-mixing Markov chain\(L^2\)-spectral gap property\(M\)-estimatoradditive functionalBerry-Esseen theoremcentral limit theoremdiscrete or continuous-time Markov processEdgeworth expansionFourier operatorfunctional central limit theoremgeometric ergodicitylocal limit theoremMarkov additive processMarkov random walkstationary Markov processuniform ergodicity

Mathematics Subject Classification ID

Ergodic theorems, spectral theory, Markov operators (37A30) 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) Local time and additive functionals (60J55) Markov processes: estimation; hidden Markov models (62M05)

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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