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An almost sure invariance principle for additive functionals of Markov chains

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  • Rassoul-Agha, F.
  • Seppäläinen, T.

Abstract

We prove an invariance principle for a vector-valued additive functional of a Markov chain for almost every starting point with respect to an ergodic equilibrium distribution. The hypothesis is a moment bound on the resolvent.

Suggested Citation

  • Rassoul-Agha, F. & Seppäläinen, T., 2008. "An almost sure invariance principle for additive functionals of Markov chains," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 854-860, May.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:7:p:854-860
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    Cited by:

    1. Avena, L. & Blondel, O. & Faggionato, A., 2018. "Analysis of random walks in dynamic random environments via L2-perturbations," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3490-3530.
    2. Barrera, David & Peligrad, Costel & Peligrad, Magda, 2016. "On the functional CLT for stationary Markov chains started at a point," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1885-1900.

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