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Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 4, Pages 755–771
(Mi tvp3339)
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Convergence of moments in the central limit theorem for nonstationary Markov chains
В. A. Lifšic Leningrad
Abstract:
Let, for every $n=1,2,\dots,$ random variables $X_{ns}$, $1\le s\le n$, form a Markov chain with transition functions $Q_{nt}$, $1\le t\le n-1$. We denote
$$
S_n=\sum_sX_{ns},\quad F_n(x)=\mathbf P(S_n<x\sqrt{\mathbf DS_n}),\quad\alpha_n=\min_t\alpha(Q_{nt}),
$$
where $\alpha(Q_{nt})$ is the ergodicity coefficient of $Q_{nt}$.
Theorem. {\em If
$$
|X_{ns}|\le C,\quad\mathbf EX_{ns}=0,\quad\mathbf DX_{ns}\ge c,\quad\alpha_nn^{1/3}/\ln n\to\infty,
$$
then, for every $p\ge0$,
$$
\int_{-\infty}^\infty|x|^pF_n(dx)
$$
converges to the pth absolute moment of} $N(0,1)$.
Received: 27.05.1974
Citation:
В. A. Lifšic, “Convergence of moments in the central limit theorem for nonstationary Markov chains”, Teor. Veroyatnost. i Primenen., 20:4 (1975), 755–771; Theory Probab. Appl., 20:4 (1976), 741–758
Linking options:
https://www.mathnet.ru/eng/tvp3339 https://www.mathnet.ru/eng/tvp/v20/i4/p755
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Abstract page: | 187 | Full-text PDF : | 115 |
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