Vitesse de Convergence dans le Th\'eor\`eme Limite Central pour Cha\^ines de Markov de Probabilit\'e de Transition Quasi-Compacte

arXivmath/0609720MaRDI QIDQ6477928FDOQ6477928

Authors: Loïc Hervé 

Publication date: 26 September 2006

Abstract: Let $Q$ be a transition probability on a measurable space $E$, let $(X_n{)}_n$ be a Markov chain associated to $Q$, and let $xi$ be a real-valued measurable function on $E$, and $S_n=su{m}_{k=1}^{n}xi(X_k)$. Under functional hypotheses on the action of $Q$ and its Fourier kernels $Q(t)$, we investigate the rate of convergence in the central limit theorem for the sequence $(frac{S}_{n}sqrtn{)}_n$. According to the hypotheses, we prove that the rate is, either $O(n^{-fracau2})$ for all $au<1$, or $O(n^{-1/2})$. We apply the spectral method of Nagaev which is improved by using a perturbation theorem of Keller and Liverani and a method of martingale difference reduction. When $E$ is not compact or $xi$ is not bounded, the conditions required here are weaker than the ones usually imposed when the standard perturbation theorem is used. For example, in the case of $V$-geometric ergodic chains or Lipschitz iterative models, the rate of convergence in the c.l.t is $O(n^{-1/2})$ under a third moment condition on $xi$.

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05)

This page was built for publication: Vitesse de Convergence dans le Th\'eor\`eme Limite Central pour Cha\^ines de Markov de Probabilit\'e de Transition Quasi-Compacte

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6477928)