Central limit theorems for additive functionals of Markov chains
成果类型：
Article
署名作者：
Maxwell, M; Woodroofe, M
署名单位：
California State University System; San Jose State University; University of Michigan System; University of Michigan
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
2000
页码：
713-724
关键词：
摘要：
Central limit theorems and invariance principles are obtained for additive functionals of a stationary ergodic Markov chain, say S-n = g(X-1) + ... + g(X-n), where E[g(X-1)] = 0 and E[g(X-1)(2)] < . The conditions imposed restrict the moments of g and the growth of the conditional means E(S-n\X-1). No other restrictions on the dependence structure of the chain are required. When specialized to shift processes, the conditions are implied by simple integral tests involving g.