Related papers: Spectral Theory and Limit Theorems for Geometrical…
A distributional symmetry is invariance of a distribution under a group of transformations. Exchangeability and stationarity are examples. We explain that a result of ergodic theory provides a law of large numbers: If the group satisfies…
For a discrete-time Markov chain $\{X(t)\}$ evolving on $\Re^\ell$ with transition kernel $P$, natural, general conditions are developed under which the following are established: 1. The transition kernel $P$ has a purely discrete spectrum,…
Consider a Markov chain $\{X_n\}_{n\ge 0}$ with an ergodic probability measure $\pi$. Let $\Psi$ a function on the state space of the chain, with $\alpha$-tails with respect to $\pi$, $\alpha\in (0,2)$. We find sufficient conditions on the…
We establish functional limit theorems for ergodic sums of observables with power singularities for expanding circle maps. In the regime where the observables have infinite variance, we show that when rescaled by $N^{1/s}(\ln N)^\alpha$,…
Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities…
The mean ergodic theorem is equivalent to the assertion that for every function K and every epsilon, there is an n with the property that the ergodic averages A_m f are stable to within epsilon on the interval [n,K(n)]. We show that even…
It has been established under very general conditions that the ergodic properties of Markov processes are inherited by their conditional distributions given partial information. While the existing theory provides a rather complete picture…
The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
In this paper, we investigate the functional central limit theorem for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation…
We consider the almost sure asymptotic behavior of the periodogram of stationary and ergodic sequences. Under mild conditions we establish that the limsup of the periodogram properly normalized identifies almost surely the spectral density…
This paper deals with ergodic theorems for particular time-inhomogeneous Markov processes, whose the time-inhomogeneity is asymptotically periodic. Under a Lyapunov/minorization condition, it is shown that, for any measurable bounded…
We prove a pointwise convergence result for additive ergodic averages associated with certain multiplicative actions of the Gaussian integers. We derive several applications in dynamics and number theory, including: (i) Wirsing's theorem…
It has been observed that an interesting class of non-Gaussian stationary processes is obtained when in the harmonics of a signal with random amplitudes and phases, frequencies can also vary randomly. In the resulting models, the…
Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and…
This paper introduces ergodic-risk criteria, which capture long-term cumulative risks associated with controlled Markov chains through probabilistic limit theorems--in contrast to existing methods that require assumptions of either finite…
We investigate how spectral properties of a measure preserving system $(X,\mathcal{B},\mu,T)$ are reflected in the multiple ergodic averages arising from that system. For certain sequences $a:\mathbb{N}\to\mathbb{N}$ we provide natural…
We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic,…
The spectral gap $\gamma$ of an ergodic and reversible Markov chain is an important parameter measuring the asymptotic rate of convergence. In applications, the transition matrix $P$ may be unknown, yet one sample of the chain up to a fixed…
In order to give quantitative estimates for approximating the ergodic limit, we investigate probabilistic limit behaviors of time-averaging estimators of numerical discretizations for a class of time-homogeneous Markov processes, by…