Limit Theorems for quadratic forms of Markov Chains
Probability
2011-08-16 v1
Abstract
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results to Markov Chain Monte Carlo simulation. As another illustration, we use the method to derive a central limit theorem for U-statistics with varying kernels.
Cite
@article{arxiv.1108.2743,
title = {Limit Theorems for quadratic forms of Markov Chains},
author = {Yves F. Atchade and Matias D. Cattaneo},
journal= {arXiv preprint arXiv:1108.2743},
year = {2011}
}
Comments
22 pages, 2 figures