Uniform moderate deviations of functional empirical processes of Markov chains

MaRDI QIDQ2772051zbMATH OpenFDO

Authors Arnaud Guillin

Publication date 18 February 2002

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic estimationergodic Markov chain

Mathematics Subject Classification ID

Large deviations (60F10) Functional limit theorems; invariance principles (60F17) Limit theorems in probability theory (60F99) Discrete-time Markov processes on general state spaces (60J05)

Review text

Let \(\{X_j,\;j\geq 0\}\) be an ergodic Markov chain with values in a general measurable state space with transition probability \(P\) and with invariant probability measure \(\pi\). Put \(M_n(t)=b^{-1}_n\sum^{[nt]}_{j=0} (\delta_{X_j}-\pi)\) and \((M_n(t))(f)=b^{-1}_n\sum^{[nt]}_{k=0} f(X_k)\) for \(f\) bounded measurable such that \(\pi(f)=0\). The paper obtains the asymptotic estimation of \({\mathbf P}_\mu\{(M_n(\cdot)),(f)\in\cdot\}\) and relative results when \(b_n\) satisfies \(b_n/\sqrt{n}\to+\infty\), \(b_n/n\to 0\).

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