A sequential empirical CLT for multiple mixing processes with application to B-geometrically ergodic Markov chains

DOI10.1214/EJP.V19-3216MaRDI QIDQ743520zbMATHFDO

Authors Herold Dehling, Olivier Durieu, Marco Tusche

Publication date 24 September 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4537

zbMATH Keywords

Markov chaindynamical systemslimit theoremsspectral gapmultiple mixingchange-point problemsmultivariate sequential empirical processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We investigate the convergence in distribution of sequential empirical processes of dependent data indexed by a class of functions F. Our technique is suitable for processes that satisfy a multiple mixing condition on a space of functions which differs from the class F. This situation occurs in the case of data arising from dynamical systems or Markov chains, for which the Perron--Frobenius or Markov operator, respectively, has a spectral gap on a restricted space. We provide applications to iterative Lipschitz models that contract on average.

Recommendations

• A note on weak convergence of the sequential multivariate empirical process under strong mixing
• The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
• Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
• Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
• On the central limit theorem for geometrically ergodic Markov chains
• Central limit theorems for conditional empirical and conditional \(U\)-processes of stationary mixing sequences
• Rates of convergence for empirical processes of stationary mixing sequences

Cited in

(4)

• On weak invariance principles for partial sums
• Empirical processes of multidimensional systems with multiple mixing properties
• A weak convergence result for sequential empirical processes under weak dependence
• A note on weak convergence of the sequential multivariate empirical process under strong mixing

This page was built for publication: A sequential empirical CLT for multiple mixing processes with application to \(\mathcal{B}\)-geometrically ergodic Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q743520)