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

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

x i

be a real-valued measurable function on

E

, and

S_{n} = s u m_{k = 1}^{n} x i (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

(f r a c S_{n} s q r t n)_{n}

. According to the hypotheses, we prove that the rate is, either

m a t h r m O (n^{- a u / 2})

for all

a u < 1

, or

m a t h r m O (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

| m a t h b b E [m a t h r m e^{m a t h r m i t S_{n} / s q r t n}] - m a t h r m e^{- t^{2} / 2} |

obtained by a method of martingale difference reduction. When

E

is not compact or

x i

is not bounded, the conditions required here on

Q (t)

(in substance, some moment conditions on

x i

) 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

m a t h r m O (n^{- 1 / 2})

under a third moment condition on

x i

.

Cites Work

Cited In (6)

Recommendations

This page was built for publication: Rate of convergence in the central limit theorem for strongly ergodic Markov chains