Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains

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dc.creatorKonakov, Valentin
dc.creatorMammen, Enno
dc.date2007-05-22
dc.date.accessioned2026-07-07T08:02:50Z
dc.date.available2026-07-07T08:02:50Z
dc.descriptionWe consider triangular arrays of Markov chains that converge weakly to a diffusion process. Second order Edgeworth type expansions for transition densities are proved. The paper differs from recent results in two respects. We allow nonhomogeneous diffusion limits and we treat transition densities with time lag converging to zero. Small time asymptotics are motivated by statistical applications and by resulting approximations for the joint density of diffusion values at an increasing grid of points.
dc.description58 pages
dc.identifierhttps://arxiv.org/abs/0705.3139
dc.identifierhttp://arxiv.org/abs/0705.3139
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/129354
dc.subjectStatistics Theory
dc.subjectProbability
dc.subject62G07, 60G60
dc.titleSmall time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
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