On the functional central limit theorem for reversible Markov chains with nonlinear growth of the variance

DOI10.1239/JAP/1354716659zbMATH Open1269.60041arXiv1112.2751OpenAlexW2074041886MaRDI QIDQ4903044FDOQ4903044

Authors: Martial Longla, Costel Peligrad, Magda Peligrad 

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: In this paper we study the functional central limit theorem for stationary Markov chains with self-adjoint operator and general state space. We investigate the case when the variance of the partial sum is not asymptotically linear in n; and establish that conditional convergence in distribution of partial sums implies functional CLT. The main tools are maximal inequalities that are further exploited to derive conditions for tightness and convergence to the Brownian motion.

Full work available at URL: https://arxiv.org/abs/1112.2751

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zbMATH Keywords

Markov chainfunctional central limit theoremmaximal inequalitymartingale approximationtightnessreversible process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (11)

• Relaxed sector condition
• On the functional CLT for stationary Markov chains started at a point
• A central limit theorem for reversible processes with nonlinear growth of variance
• On variance conditions for Markov chain CLTs
• Frames and factorization of graph Laplacians
• Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
• Asymptotic properties for linear processes of functionals of reversible or normal Markov chains
• Asymptotic variance of stationary reversible and normal Markov processes
• Title not available (Why is that?)
• Remarks on limit theorems for reversible Markov processes and their applications
• On the invariance principle for reversible Markov chains

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