Stable limits for Markov chains via the Principle of Conditioning

Mohamed El Machkouri, Adam Jakubowski and Dalibor Volný

Stochastic Processes and their Applications, 2020, vol. 130, issue 4, 1853-1878

Abstract: We study limit theorems for partial sums of instantaneous functions of a homogeneous Markov chain on a general state space. The summands are heavy-tailed and the limits are stable distributions.

Keywords: Stable laws; Markov chains; Spectral gap; Operator uniform integrability; Principle of conditioning; Hyperbounedness (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2019.06.002

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