Edgeworth expansions for integer valued additive functionals of uniformly elliptic Markov chains

preprint2022arXivOpen access

Abstract

We obtain asymptotic expansions for probabilities P(SN=k)\mathbb{P}(S_N=k) of partial sums of uniformly bounded integer-valued functionals SN=∑n=1Nfn(Xn)S_N=\sum_{n=1}^N f_n(X_n) of uniformly elliptic inhomogeneous Markov chains. The expansions involve products of polynomials and trigonometric polynomials, and they hold without additional assumptions. As an application of the explicit formulas of the trigonometric polynomials, we show that for every r≥1 r\geq1\,, SNS_N obeys the standard Edgeworth expansions of order rr in a conditionally stable way if and only if for every mm, and every ℓ\ell the conditional distribution of SNS_N given Xj1,...,XjℓX_{j_1},...,X_{j_\ell} mod mm is oℓ(σN1−r)o_\ell(σ_N^{1-r}) close to uniform, uniformly in the choice of j1,...,jℓj_1,...,j_\ell, where σN=Var(SN).σ_N=\sqrt{\text{Var}(S_N)}.

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Edgeworth expansions for integer valued additive functionals of uniformly elliptic Markov chains | BZPEER