Local Invariance Principle for Markov Chains

• Autorzy: Noquet C.
• Języki publikacji: EN

Abstrakty

EN

We consider stationary homogeneous Markov chains and the polygonal processes defined by a usual way using such chains. There are many results about invariance principles of those processes. In this paper, we prove that under additional conditions, a stronger assertion (in some sense) is true. Indeed, we establish the convergence in variation for the distributions of the functionals of such a process, that is a local invariance principle. We study also the particular case of positive Harris recurrent Markov chains. Finally, we prove that the invariance principle and the local invariance principle remain valid when the initial chain is homogeneous but not stationary.

Słowa kluczowe

EN

Markov chains; local invariance principle; positive Markov chains; inequality

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1999
• Tom: Vol. 19, Fasc. 1
• Strony: 77--96
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Noquet C.

• Université de Lille II, I.U.T. C, Département STID, 25, 27 rue du Maréchal Foch, 59100 Roubaix, France

Bibliografia

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