On martingale approximations
| dc.creator | Zhao, Ou | |
| dc.creator | Woodroofe, Michael | |
| dc.date | 2007-08-30 | |
| dc.date | 2008-11-14 | |
| dc.date.accessioned | 2026-07-07T10:17:49Z | |
| dc.date.available | 2026-07-07T10:17:49Z | |
| dc.description | Consider additive functionals of a Markov chain $W_k$, with stationary (marginal) distribution and transition function denoted by $π$ and $Q$, say $S_n=g(W_1)+...+g(W_n)$, where $g$ is square integrable and has mean 0 with respect to $π$. If $S_n$ has the form $S_n=M_n+R_n$, where $M_n$ is a square integrable martingale with stationary increments and $E(R_n^2)=o(n)$, then $g$ is said to admit a martingale approximation. Necessary and sufficient conditions for such an approximation are developed. Two obvious necessary conditions are $E[E(S_n|W_1)^2]=o(n)$ and $\lim_{n\to \infty}E(S_n^2)/n<\infty$. Assuming the first of these, let $\Vert g\Vert^2_+=\limsup_{n\to \infty}E(S_n^2)/n$; then $\Vert\cdot\Vert_+$ defines a pseudo norm on the subspace of $L^2(π)$ where it is finite. In one main result, a simple necessary and sufficient condition for a martingale approximation is developed in terms of $\Vert\cdot\Vert_+$. Let $Q^*$ denote the adjoint operator to $Q$, regarded as a linear operator from $L^2(π)$ into itself, and consider co-isometries ($QQ^*=I$), an important special case that includes shift processes. In another main result a convenient orthonormal basis for $L_0^2(π)$ is identified along with a simple necessary and sufficient condition for the existence of a martingale approximation in terms of the coefficients of the expansion of $g$ with respect to this basis. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-AAP505 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0708.4183 | |
| dc.identifier | http://arxiv.org/abs/0708.4183 | |
| dc.identifier | Annals of Applied Probability 2008, Vol. 18, No. 5, 1831-1847 | |
| dc.identifier | doi:10.1214/07-AAP505 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/173986 | |
| dc.subject | Probability | |
| dc.subject | 60F05 (Primary) 60J10 (Secondary) | |
| dc.title | On martingale approximations | |
| dc.type | text |