On the CLT for additive functionals of Markov chains

DOI10.1214/20-ECP318zbMATH Open1453.60072arXiv2003.00085MaRDI QIDQ782830FDOQ782830

Magda Peligrad

Publication date: 29 July 2020

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

Abstract: In this paper we study the additive functionals of Markov chains via conditioning with respect to both past and future of the chain. We shall point out new sufficient projective conditions, which assure that the variance of partial sums of n consecutive random variables of a stationary Markov chain is linear in n. The paper also addresses the central limit theorem problem and is listing several open questions.

Full work available at URL: https://arxiv.org/abs/2003.00085

zbMATH Keywords

central limit theoremMarkov chainsprojective criteriavariance of partial sums

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Foundations of stochastic processes (60G05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Fractional Poisson equations and ergodic theorems for fractional coboundaries
• Limit theorems for Markov chains by the symmetrization method
• Central limit theorems for additive functionals of Markov chains.
• Conditional central limit theorem via martingale approximation
• POINTWISE ERGODIC THEOREMS WITH RATE WITH APPLICATIONS TO LIMIT THEOREMS FOR STATIONARY PROCESSES
• On the central limit theorem for stationary processes
• The central limit theorem for Markov chains with normal transition operators, started at a point
• On convergence of power series of $L_p$ contractions
• A new maximal inequality and invariance principle for stationary sequences
• Approximating martingales and the central limit theorem for strictly stationary processes
• On the optimality of McLeish's conditions for the central limit theorem
• A new CLT for additive functionals of Markov chains
• Functional Gaussian Approximation for Dependent Structures

Cited In (5)

• A new CLT for additive functionals of Markov chains
• Title not available (Why is that?)
• On the quenched CLT for stationary Markov chains
• Strong approximation for additive functionals of geometrically ergodic Markov chains
• Chung's law for additive functionals of positive recurrent Markov chains

Recommendations

• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Limit theorems for additive functionals of a Markov chain 👍 👎
• Central limit theorems for additive functionals of Markov chains. 👍 👎
• Large deviations for additive functionals of Markov chains 👍 👎
• On additive functionals of Markov chains 👍 👎
• A new CLT for additive functionals of Markov chains 👍 👎
• On a limit theorem for an additive functional on a nonrecurrent Markovian chain 👍 👎

This page was built for publication: On the CLT for additive functionals of Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q782830)