Related papers: Spectral Theory and Limit Theorems for Geometrical…

In this paper we study the central limit theorem for additive functionals of stationary Markov chains with general state space by using a new idea involving conditioning with respect to both the past and future of the chain. Practically, we…

We address the problem of upper bounding the mean square error of MCMC estimators. Our analysis is nonasymptotic. We first establish a general result valid for essentially all ergodic Markov chains encountered in Bayesian computation and a…

Using the renewal approach we prove Bernstein-like inequalities for additive functionals of geometrically ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The coefficient in the…

A remarkable theorem of Besicovitch is that an integrable function $f$ on $\mathbb{R}^2$ is strongly differentiable if and only if its associated strong maximal function $M_S f$ is finite a.e. We provide an analogue of Besicovitch's result…

Motivated by studying stochastic systems with non-Gaussian L\'evy noise, spectral properties for a type of linear cocycles are considered. These linear cocycles have countable jump discontinuities in time. A multiplicative ergodic theorem…

The central limit theorem for Markov chains generated by iterated function systems consisting of orientation preserving homeomorphisms of the interval is proved. We study also ergodicity of such systems.

We establish results with an arithmetic flavor that generalize the polynomial multidimensional Szemeredi theorem and related multiple recurrence and convergence results in ergodic theory. For instance, we show that in all these statements…

Let $\{X_n\}_{n\ge0}$ be a $V$-geometrically ergodic Markov chain. Given some real-valued functional $F$, define $M_n(\alpha):=n^{-1}\sum_{k=1}^nF(\alpha,X_{k-1},X_k)$, $\alpha\in\mathcal{A}\subset \mathbb {R}$. Consider an $M$ estimator…

We prove that an irreducible aperiodic Markov chain is geometrically ergodic if and only if any separately bounded functional of the stationary chain satisfies an appropriate subgaussian deviation inequality from its mean.

In this paper, we consider semi-Markov processes whose transition times and transition probabilities depend on a small parameter $\varepsilon$. Understanding the asymptotic behavior of such processes is needed in order to study the…

The first aim of the present note is to quantify the speed of convergence of a conditioned process toward its Q-process under suitable assumptions on the quasi-stationary distribution of the process. Conversely, we prove that, if a…

We obtain ergodic theorems for multiple iterated sums and integrals of the form $\Sigma^{(\nu)}(t)=\sum_{0\leq k_1<...<k_\nu\leq t}\xi(k_1)\otimes\cdots\otimes\xi(k_\nu)$, $t\in[0,T]$ and $\Sigma^{(\nu)}(t)=\int_{0\leq s_1\leq...\leq…

We establish quantitative bounds for rates of convergence and asymptotic variances for iterated conditional sequential Monte Carlo (i-cSMC) Markov chains and associated particle Gibbs samplers. Our main findings are that the essential…

We consider the random reversible Markov kernel K obtained by assigning i.i.d. nonnegative weights to the edges of the complete graph over n vertices and normalizing by the corresponding row sum. The weights are assumed to be in the domain…

We use ergodic theory to prove a quantitative version of a theorem of M. A. Berger and Y. Wang, which relates the joint spectral radius of a set of matrices to the spectral radii of finite products of those matrices. The proof rests on a…

We address the problem of estimating the mixing time $t_{\mathsf{mix}}$ of an arbitrary ergodic finite-state Markov chain from a single trajectory of length $m$. The reversible case was addressed by Hsu et al. [2019], who left the general…

In his monograph Chebyshev and Fourier Spectral Methods, John Boyd claimed that, regarding Fourier spectral methods for solving differential equations, ``[t]he virtues of the Fast Fourier Transform will continue to improve as the relentless…

Local mean and individual (with respect to almost uniform convergence in Egorov's sense) ergodic theorems are established for actions of the semigroup $\mathbb R_+^d$ in symmetric spaces of measurable operators associated with a semifinite…

We extend Hoeffding's lemma to general-state-space and not necessarily reversible Markov chains. Let $\{X_i\}_{i \ge 1}$ be a stationary Markov chain with invariant measure $\pi$ and absolute spectral gap $1-\lambda$, where $\lambda$ is…

For ${1/2}<\alpha<1$, we propose the MDP analysis for family $$ S^\alpha_n=\frac{1}{n^\alpha}\sum_{i=1}^nH(X_{i-1}), n\ge 1, $$ where $(X_n)_{n\ge 0}$ be a homogeneous ergodic Markov chain, $X_n\in \mathbb{R}^d$, when the spectrum of…