Skip to main navigation Skip to search Skip to main content

Bounds on regeneration times and limit theorems for subgeometric Markov chains

  • Université Paris Dauphine

Research output: Contribution to journalArticlepeer-review

Abstract

This paper studies limit theorems for Markov chains with general state space under conditions which imply subgeometric ergodicity. We obtain a central limit theorem and moderate deviation principles for additive not necessarily bounded functional of the Markov chains under drift and minorization conditions which are weaker than the Foster-Lyapunov conditions. The regeneration-split chain method and a precise control of the modulated moment of the hitting time to small sets are employed in the proof.

Original languageEnglish
Pages (from-to)239-257
Number of pages19
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume44
Issue number2
DOIs
Publication statusPublished - 1 Jan 2008

Keywords

  • Markov chains
  • Rates of convergence
  • Stochastic monotonicity

Fingerprint

Dive into the research topics of 'Bounds on regeneration times and limit theorems for subgeometric Markov chains'. Together they form a unique fingerprint.

Cite this