arXiv subjects

Sergey Utev

Publications and source records attributed to Sergey Utev.

13 recordsLinked to original sources

arXiv2022

On the invariance principle for reversible Markov chains

In this paper, we investigate the functional central limit theorem for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation of partial sums. For this case, we show that the functional central limit theorem is equivalent to the fact that the variance of partial sums is regularly varying with exponent 1 and the partial sums satisfy the CLT. It is also equivalent to the conditional CLT.

math.PR↗

arXiv2018

Functional CLT for martingale-like nonstationary dependent structures

In this paper we develop non-stationary martingale techniques for dependent data. We shall stress the non-stationary version of the projective Maxwell-Woodroofe condition, which will be essential for obtaining maximal inequalities and functional central limit theorem for the following examples: nonstationary \r{ho}-mixing sequences, functions of linear processes with non-stationary innovations, quenched version of the functional central limit theorem for a stationary sequence, evolutions in random media such as a process sampled by a shifted Markov chain.

math.PR↗

arXiv2015

Optimal bounds for self-intersection local times

For a random walk $S_n, n\geq 0$ in $\mathbb{Z}^d$, let $l(n,x)$ be its local time at the site $x\in \mathbb{Z}^d$. Define the $α$-fold self intersection local time $L_n(α) := \sum_{x} l(n,x)^α$, and let $L_n(α|ε, d)$ the corresponding quantity for $d$-dimensional simple random walk. Without imposing any moment conditions, we show that the variances of the local times $\mathop{var}(L_n(α))$ of any genuinely $d$-dimensional random walk are bounded above by the corresponding characteristics of the simple symmetric random walk in $\mathbb{Z}^d$, i.e. $\mathop{var}(L_n(α)) \leq C \mathop{var}[L_n(α|ε, d)]\sim K_{d,α}v_{d,α}(n)$. In particular, variances of local times of all genuinely $d$-dimensional random walks, $d\geq 4$, are similar to the $4$-dimensional symmetric case $\mathop{var}(L_n(α)) = O(n)$. On the other hand, in dimensions $d\leq 3$ the resemblance to the simple random walk $\liminf_{n\to \infty} \mathop{var}(L_n(α))/v_{d,α}(n)>0$ implies that the jumps must have zero mean and finite second moment.

math.PR↗

arXiv2014

Asymptotic variance of stationary reversible and normal Markov processes

We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class of Metropolis-Hastings algorithms which satisfy a central limit theorem and invariance principle when the variance is not linear in $n$.

math.PR↗

arXiv2013

Variance of partial sums of stationary sequences

Let $X_1,X_2,\ldots$ be a centred sequence of weakly stationary random variables with spectral measure $F$ and partial sums $S_n=X_1+\cdots+X_n$. We show that $\operatorname {var}(S_n)$ is regularly varying of index $γ$ at infinity, if and only if $G(x):=\int_{-x}^xF(\mathrm {d}x)$ is regularly varying of index $2-γ$ at the origin ($0<γ<2$).

math.PR↗

arXiv2010

An asymptotic variance of the self-intersections of random walks

We present a Darboux-Wiener type lemma and apply it to obtain an exact asymptotic for the variance of the self-intersection of one and two-dimensional random walks. As a corollary, we obtain a central limit theorem for random walk in random scenery conjectured by Kesten and Spitzer in 1979.

math.PR↗

arXiv2009

Stein's method and stochastic orderings

A stochastic ordering approach is applied with Stein's method for approximation by the equilibrium distribution of a birth-death process. The usual stochastic order and the more general s-convex orders are discussed. Attention is focused on Poisson and translated Poisson approximation of a sum of dependent Bernoulli random variables, for example k-runs in i.i.d. Bernoulli trials. Other applications include approximation by polynomial birth--death distributions.

math.PR↗

arXiv2007

Moderate deviations for stationary sequences of bounded random variables

In this paper we derive the moderate deviation principle for stationary sequences of bounded random variables under martingale-type conditions. Applications to functions of $ϕ$-mixing sequences, contracting Markov chains, expanding maps of the interval, and symmetric random walks on the circle are given.

math.PR↗

arXiv2006

Invariance principle for stochastic processes with short memory

In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the weak invariance principle for partial sums of linear processes with short memory. We prove that whenever the partial sums of innovations satisfy the $L_p$--invariance principle, then so does the partial sums of its corresponding linear process.

math.PR↗

arXiv2006

Central limit theorem for stationary linear processes

We establish the central limit theorem for linear processes with dependent innovations including martingales and mixingale type of assumptions as defined in McLeish [Ann. Probab. 5 (1977) 616--621] and motivated by Gordin [Soviet Math. Dokl. 10 (1969) 1174--1176]. In doing so we shall preserve the generality of the coefficients, including the long range dependence case, and we shall express the variance of partial sums in a form easy to apply. Ergodicity is not required.

math.PR↗

arXiv2006

Recent advances in invariance principles for stationary sequences

In this paper we survey some recent results on the central limit theorem and its weak invariance principle for stationary sequences. We also describe several maximal inequalities that are the main tool for obtaining the invariance principles, and also they have interest in themselves. The classes of dependent random variables considered will be martingale-like sequences, mixing sequences, linear processes, additive functionals of ergodic Markov chains.

math.PR↗

arXiv2005

Another approach to Brownian motion

Braverman, Mallows and Shepp (1995), showed that if the absolute moments of partial sums of i.i.d. symmetric variables are equal to those of normal variables, then the marginals have normal distribution. This fact suggested the conjecture that probably the absolute moments alone characterize the homogeneous process with independent increments. In this paper we prove a more general result that gives a positive answer to this conjecture, and then apply it in order to obtain the CLT for a class of dependent random variables under a normalization involving the absolute moments of partial sums.

math.PR↗

arXiv2005

A new maximal inequality and invariance principle for stationary sequences

We derive a new maximal inequality for stationary sequences under a martingale-type condition introduced by Maxwell and Woodroofe [Ann. Probab. 28 (2000) 713-724]. Then, we apply it to establish the Donsker invariance principle for this class of stationary sequences. A Markov chain example is given in order to show the optimality of the conditions imposed.

math.PR↗