The Berry–Esseen Bound for General Markov Chains

The Berry–Esseen Bound for General Markov Chains

A rate of convergence in the CLT is studied for recurrent Markov chains. The Berry–Esseen type bound is obtained with explicit dependence on parameters of the chain. The method of the proof is purely analytical. It is based on the complex analysis of generating functions.

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Veröffentlicht in:Journal of mathematical sciences (New York, N.Y.) N.Y.), 2018-11, Vol.234 (6), p.829-846
1. Verfasser: Nagaev, S. V.
Format: Artikel
Sprache:eng
Schlagworte:
Analysis
CONVERGENCE
Dependence
FUNCTIONS
Markov analysis
Markov chains
MARKOV PROCESS
Markov processes
Mathematical analysis
MATHEMATICAL METHODS AND COMPUTING
Mathematics
Mathematics and Statistics
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Zusammenfassung:A rate of convergence in the CLT is studied for recurrent Markov chains. The Berry–Esseen type bound is obtained with explicit dependence on parameters of the chain. The method of the proof is purely analytical. It is based on the complex analysis of generating functions.
ISSN:1072-3374
1573-8795
DOI:10.1007/s10958-018-4050-3