The Law of the Iterated Logarithm for Functionals of Harris Recurrent Markov Chains: Self Normalization |
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Authors: | Xia Chen |
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Institution: | (1) Department of Mathematics, Northwestern University, Evanston, Illinois, 60208 |
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Abstract: | Let {X
n
}
n 0 be a Harris recurrent Markov chain with state space E, transition probability P(x, A) and invariant measure , and let f be a real measurable function on E. We prove that with probability one,
under some best possible conditions. |
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Keywords: | Law of the iterated logarithm Harris recurrent Markov chain invariant measure atom D-set |
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