# Limit theorems for some functionals with heavy tails of a discrete time Markov chain

Patrick Cattiaux; Mawaki Manou-Abi

ESAIM: Probability and Statistics (2014)

- Volume: 18, page 468-482
- ISSN: 1292-8100

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topCattiaux, Patrick, and Manou-Abi, Mawaki. "Limit theorems for some functionals with heavy tails of a discrete time Markov chain." ESAIM: Probability and Statistics 18 (2014): 468-482. <http://eudml.org/doc/274363>.

@article{Cattiaux2014,

abstract = {Consider an irreducible, aperiodic and positive recurrent discrete time Markov chain (Xn,n ≥ 0) with invariant distribution μ. We shall investigate the long time behaviour of some functionals of the chain, in particular the additive functional $S_\{n\}=\sum _\{i=1\}^\{n\}f(X_\{i\})$ S n = ∑ i = 1 n f ( X i ) for a possibly non square integrable functionf. To this end we shall link ergodic properties of the chain to mixing properties, extending known results in the continuous time case. We will then use existing results of convergence to stable distributions, obtained in [M. Denker and A. Jakubowski, Stat. Probab. Lett. 8 (1989) 477–483; M. Tyran-Kaminska, Stochastic Process. Appl. 120 (2010) 1629–1650; D. Krizmanic, Ph.D. thesis (2010); B. Basrak, D. Krizmanic and J. Segers, Ann. Probab. 40 (2012) 2008–2033] for stationary mixing sequences. Contrary to the usual L^2 L 2 framework studied in [P. Cattiaux, D. Chafai and A. Guillin, ALEA, Lat. Am. J. Probab. Math. Stat. 9 (2012) 337–382], where weak forms of ergodicity are sufficient to ensure the validity of the Central Limit Theorem, we will need here strong ergodic properties: the existence of a spectral gap, hyperboundedness (or hypercontractivity). These properties are also discussed. Finally we give explicit examples.},

author = {Cattiaux, Patrick, Manou-Abi, Mawaki},

journal = {ESAIM: Probability and Statistics},

keywords = {Markov chains; stable limit theorems; stable distributions; log-Sobolev inequality; additive functionals; functional limit theorem; functional limit theorems},

language = {eng},

pages = {468-482},

publisher = {EDP-Sciences},

title = {Limit theorems for some functionals with heavy tails of a discrete time Markov chain},

url = {http://eudml.org/doc/274363},

volume = {18},

year = {2014},

}

TY - JOUR

AU - Cattiaux, Patrick

AU - Manou-Abi, Mawaki

TI - Limit theorems for some functionals with heavy tails of a discrete time Markov chain

JO - ESAIM: Probability and Statistics

PY - 2014

PB - EDP-Sciences

VL - 18

SP - 468

EP - 482

AB - Consider an irreducible, aperiodic and positive recurrent discrete time Markov chain (Xn,n ≥ 0) with invariant distribution μ. We shall investigate the long time behaviour of some functionals of the chain, in particular the additive functional $S_{n}=\sum _{i=1}^{n}f(X_{i})$ S n = ∑ i = 1 n f ( X i ) for a possibly non square integrable functionf. To this end we shall link ergodic properties of the chain to mixing properties, extending known results in the continuous time case. We will then use existing results of convergence to stable distributions, obtained in [M. Denker and A. Jakubowski, Stat. Probab. Lett. 8 (1989) 477–483; M. Tyran-Kaminska, Stochastic Process. Appl. 120 (2010) 1629–1650; D. Krizmanic, Ph.D. thesis (2010); B. Basrak, D. Krizmanic and J. Segers, Ann. Probab. 40 (2012) 2008–2033] for stationary mixing sequences. Contrary to the usual L^2 L 2 framework studied in [P. Cattiaux, D. Chafai and A. Guillin, ALEA, Lat. Am. J. Probab. Math. Stat. 9 (2012) 337–382], where weak forms of ergodicity are sufficient to ensure the validity of the Central Limit Theorem, we will need here strong ergodic properties: the existence of a spectral gap, hyperboundedness (or hypercontractivity). These properties are also discussed. Finally we give explicit examples.

LA - eng

KW - Markov chains; stable limit theorems; stable distributions; log-Sobolev inequality; additive functionals; functional limit theorem; functional limit theorems

UR - http://eudml.org/doc/274363

ER -

## References

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