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

DOI10.1007/S00440-022-01177-2zbMATH Open1514.60080arXiv2111.03738OpenAlexW3213440404MaRDI QIDQ6041771FDOQ6041771

Authors: D. Dolgopyat, Yeor Hafouta 

Publication date: 12 May 2023

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We prove a Berry-Esseen theorem and Edgeworth expansions for partial sums of the form $S_N=su{m}_{n=1}^N{f}_n(X_n,X_{n+1})$, 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 $alin(0,1)$, we show that $S_N$ admits expansions of all orders $r<frac1+al1-al$. For H"older continues functions with $al<1$ 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 $r<frac1+al1-al$ is optimal even in the homogeneous case.

Full work available at URL: https://arxiv.org/abs/2111.03738

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zbMATH Keywords

Edgeworth expansionsBerry-Esseen theoremuniformly elliptic inhomogeneous Markov chain

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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