A Sequential Empirical Central Limit Theorem for Multiple Mixing Processes with Application to B-Geometrically Ergodic Markov Chains

We investigate the convergence in distribution of sequential empirical processes of dependent data indexed by a class of functions F. Our technique is suitable for processes that satisfy a multiple mixing condition on a space of functions which differs from the class F. This situation occurs in the case of data arising from dynamical systems or Markov chains, for which the Perron--Frobenius or Markov operator, respectively, has a spectral gap on a restricted space. We provide applications to iterative Lipschitz models that contract on average.

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