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

DOI10.1214/EJP.V19-3216zbMATH Open1302.60047arXiv1303.4537MaRDI QIDQ743520FDOQ743520

Authors: Herold Dehling, Olivier Durieu, Marco Tusche 

Publication date: 24 September 2014

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

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.

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

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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)

Cited In (4)

• Empirical processes of multidimensional systems with multiple mixing properties
• On weak invariance principles for partial sums
• 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

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