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

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

2009-01-29

arxiv.org/abs/0901.4617v3

Bulletin de la soci\'et\'e math\'ematique de France 138 (2010) 415-489

Mathematics

Probability

Scientific paper

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.

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