Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains

DOI10.1007/S00440-007-0123-9MaRDI QIDQ957725zbMATH OpenOpenAlexFDO

Authors V. Konakov, Enno Mammen

Publication date 1 December 2008

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0705.3139

zbMATH Keywords

Markov chainEdgeworth expansiondiffusion processtransition densityparametrix method

Mathematics Subject Classification ID

Density estimation (62G07) Random fields (60G60) Diffusion processes (60J60) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Second order Edgeworth type expansions for transition densities are proved. The paper differs from recent results in two respects. We allow nonhomogeneous diffusion limits and we treat transition densities with time lag converging to zero. Small time asymptotics are motivated by statistical applications and by resulting approximations for the joint density of diffusion values at an increasing grid of points.

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Cited in

(9)

• Linear trend exclusion for models defined with stochastic differential and difference equations
• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• A Berry-Esseen theorem and Edgeworth expansions for uniformly elliptic inhomogeneous Markov chains
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Edgeworth expansions in operator form
• Edgeworth-type expansions for transition densities of Markov chains converging to diffusions
• Weak error for continuous time Markov chains related to fractional in time P(I)DEs
• Statistical convergence of Markov experiments to diffusion limits
• Small time chaos approximations for heat kernels of multidimensional diffusions

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