A Berry-Esseen theorem and Edgeworth expansions for uniformly elliptic inhomogeneous Markov chains

Abstract: We prove a Berry-Esseen theorem and Edgeworth expansions for partial sums of the form

S_{N} = s u m_{n = 1}^{N} f_{n} (X_{n}, X_{n + 1})

, where

X_{n}

is a uniformly elliptic inhomogeneous Markov chain and

f_{n}

is a sequence of uniformly bounded functions. The Berry-Esseen theorem holds without additional assumptions, while expansions of order

1

hold when

f_{n}

is irreducible, which is an optimal condition. For higher order expansions, we then focus on two situations. The first is when the essential supremum of

f_{n}

is of order

for some

. In this case it turns out that expansions of any order

hold, and this condition is optimal. The second case is uniformly elliptic chains on a compact Riemannian manifold. When

f_{n}

are uniformly Lipschitz continuous we show that

S_{N}

admits expansions of all orders. When

f_{n}

are uniformly H"older continuous with some exponent

a l i n (0, 1)

, we show that

S_{N}

admits expansions of all orders

r < f r a c 1 + a l 1 - a l

. For H"older continues functions with

a l < 1

our results are new also for uniformly elliptic homogeneous Markov chains and a single functional

f = f_{n}

. In fact, we show that the condition

r < f r a c 1 + a l 1 - a l

is optimal even in the homogeneous case.

Recommendations

Cites work

Cited in

(1)

Convergence rates in the functional CLT for \(\alpha\)-mixing triangular arrays

This page was built for publication: A Berry-Esseen theorem and Edgeworth expansions for uniformly elliptic inhomogeneous Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6041771)