On the First-Order Edgeworth Expansion for a Markov Chain

S. Datta and W. P. Mccormick

Journal of Multivariate Analysis, 1993, vol. 44, issue 2, 345-359

Abstract: We consider the first-order Edgeworth expansion for summands related to a homogeneous Markov chain. Certain inaccuracies in some earlier results by Nagaev are corrected and the expansion is obtained under relaxed conditions. An application of our result to the distribution of the mle of a transition probability in the countable state space case is also considered.

Date: 1993
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