Paper detail

Orlicz integrability of additive functionals of Harris ergodic Markov chains

For a Harris ergodic Markov chain $(X_n)_{n\ge 0}$, on a general state space, started from the so called small measure or from the stationary distribution we provide optimal estimates for Orlicz norms of sums $\sum_{i=0}^τf(X_i)$, where $τ$ is the first regeneration time of the chain. The estimates are expressed in terms of other Orlicz norms of the function $f$ (wrt the stationary distribution) and the regeneration time $τ$ (wrt the small measure). We provide applications to tail estimates for additive functionals of the chain $(X_n)$ generated by unbounded functions as well as to classical limit theorems (CLT, LIL, Berry-Esseen).