Advances in Applied Probability

A self-normalized central limit theorem for Markov random walks

Cheng-Der Fuh and Tian-Xiao Pang

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Abstract

Motivated by the study of the asymptotic normality of the least-squares estimator in the (autoregressive) AR(1) model under possibly infinite variance, in this paper we investigate a self-normalized central limit theorem for Markov random walks. That is, let {Xn, n ≥ 0} be a Markov chain on a general state space X with transition probability P and invariant measure π. Suppose that an additive component Sn takes values on the real line R, and is adjoined to the chain such that {Sn, n ≥ 1} is a Markov random walk. Assume that Sn = ∑k=1nξk, and that {ξn, n ≥ 1} is a nondegenerate and stationary sequence under π that belongs to the domain of attraction of the normal law with zero mean and possibly infinite variance. By making use of an asymptotic variance formula of Sn / √n, we prove a self-normalized central limit theorem for Sn under some regularity conditions. An essential idea in our proof is to bound the covariance of the Markov random walk via a sequence of weight functions, which plays a crucial role in determining the moment condition and dependence structure of the Markov random walk. As illustrations, we apply our results to the finite-state Markov chain, the AR(1) model, and the linear state space model.

Article information

Source
Adv. in Appl. Probab., Volume 44, Number 2 (2012), 452-478.

Dates
First available in Project Euclid: 16 June 2012

Permanent link to this document
https://projecteuclid.org/euclid.aap/1339878720

Digital Object Identifier
doi:10.1239/aap/1339878720

Mathematical Reviews number (MathSciNet)
MR2977404

Zentralblatt MATH identifier
1251.60020

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60J25: Continuous-time Markov processes on general state spaces

Keywords
Self-normalized central limit theorem Markov random walk Poisson equation domain of attraction of the normal law

Citation

Fuh, Cheng-Der; Pang, Tian-Xiao. A self-normalized central limit theorem for Markov random walks. Adv. in Appl. Probab. 44 (2012), no. 2, 452--478. doi:10.1239/aap/1339878720. https://projecteuclid.org/euclid.aap/1339878720


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