The Nagaev-Guivarc'h method via the Keller-Liverani theorem

Loïc Hervé (1) , Françoise Pene (2)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LM - Laboratoire de mathématiques de Brest

The Nagaev-Guivarc'h method, via the perturbation operator theorem of Keller and Liverani, has been exploited in recent papers to establish local limit and Berry-Essen type theorems for unbounded functionals of strongly ergodic Markov chains. The main difficulty of this approach is to prove Taylor expansions for the dominating eigenvalue of the Fourier kernels. This paper outlines this method and extends it by proving a multi-dimensional local limit theorem, a first-order Edgeworth expansion, and a multi-dimensional Berry-Esseen type theorem in the sense of Prohorov metric. When applied to uniformly or geometrically ergodic chains and to iterative Lipschitz models, the above cited limit theorems hold under moment conditions similar, or close, to those of the i.i.d. case.

Mots clés: Markov chains; central limit theorems; Edgeworth expansion; spectral method

Domaines: Probabilités [math.PR]

Loïc Hervé, Françoise Pene. The Nagaev-Guivarc'h method via the Keller-Liverani theorem. Bulletin de la société mathématique de France, 2010, 138 (3), pp.415-489. ⟨hal-00203408v5⟩