Uniform CLT for Markov chains with a countable state space
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Let \((X_ j)_{j\geq 0}\) be an irreducible Markov chain taking integer values which has a finite second moment for the first return time from some integer to itself. The main result is that under the assumption \(m_{11}^{(2)}=E(\tau^ 2_ 1| X_ 0=1)<\infty\) the uniform CLT holds if and only if \(\sum^{\infty}_{j=1}m_{1j}\pi (j)<\infty\), where \(\pi\) denotes the unique invariant probability measure of \(X_ j\), \(m_{ij}=E(\tau_ j| x_ 0=i)\) and \(\tau_ j=\min \{n\geq 1:\) \(X_ n=j\}\), \(i,j\in \{1,2,...\}\).
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Cites work
- Convergence of stochastic processes
- scientific article; zbMATH DE number 3883309 (Why is no real title available?)
- scientific article; zbMATH DE number 3885030 (Why is no real title available?)
- scientific article; zbMATH DE number 3151099 (Why is no real title available?)
- scientific article; zbMATH DE number 3716479 (Why is no real title available?)
- scientific article; zbMATH DE number 3791343 (Why is no real title available?)
- Uniform limit theorems for Harris recurrent Markov chains
Cited in
(5)- Moderate deviations for Markov chains with atom.
- Empirical law of the iterated logarithm for Markov chains with a countable state space.
- The CLT for Markov chains with a countable state space embedded in the space \(l_p\).
- Uniformization for λ-positive markov chains
- Uniform CLT for Markov chains with a countable state space
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