Rate of convergence in the central limit theorem for strongly ergodic Markov chains

DOI10.1214/07-AIHP101zbMATH Open1178.60051arXiv0805.3418OpenAlexW1972643109MaRDI QIDQ731666FDOQ731666

Authors: Loïc Hervé 

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Let $Q$ be a transition probability on a measurable space $E$ which admits an invariant probability measure, 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 the 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 $mathrmO(n^{-au/2})$ for all $au<1$, or $mathrmO(n^{-1/2})$. We apply the spectral Nagaev's method which is improved by using a perturbation theorem of Keller and Liverani, and a majoration of $|mathbbE[mathrm{e}^{mathrmit{S}_n/sqrtn}]-mathrm{e}^{-t^2/2}|$ obtained by a method of martingale difference reduction. When $E$ is not compact or $xi$ is not bounded, the conditions required here on $Q(t)$ (in substance, some moment conditions on $xi$) are weaker than the ones usually imposed when the standard perturbation theorem is used in the spectral method. For example, in the case of $V$-geometric ergodic chains or Lipschitz iterative models, the rate of convergence in the c.l.t. is $mathrmO(n^{-1/2})$ under a third moment condition on $xi$.

Full work available at URL: https://arxiv.org/abs/0805.3418

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zbMATH Keywords

Markov chainsspectral methodrate of convergence in central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Ergodic theorems, spectral theory, Markov operators (37A30) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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Cited In (10)

• Vitesse de convergence dans le TCL pour des chaı̂nes de Markov et certains processus associés à des systèmes dynamiques
• The spectral method and the central limit theorem for general Markov chains
• Convergence of iterates of a transfer operator, application to dynamical systems and to Markov chains
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• The Nagaev-Guivarc'h method via the Keller-Liverani theorem
• Stable laws and products of positive random matrices
• A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains

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