Uniform CLT for Markov chains with a countable state space

For an irreducible Markov chain taking integer values which has a finite second moment for the first return time from some integer to itself, we find a necessary and sufficient condition for a CLT which is uniform over all subsets of the integers. This is a generalization of one of the results in Durst and Dudley (1981) who worked in the i.i.d. case. An example that clarifies the difference between the i.i.d. case and Markov case is presented.

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Year of publication:	1990
Authors:	Levental, Shlomo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 34.1990, 2, p. 245-253
Publisher:	Elsevier
Keywords:	Markov chains * uniform central limit theorem * uniform strong law of large numbers

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875640