B. Williams

Berry--Esseen theorems, LLT, Edgeworth expansions, and large deviations for Locally Stationary Markov Chains

Locally stationary Markov chains have attracted a lot of attention in statistics in the past three decades. In this paper we prove a variety of limit theorems for partial sums generated by such chains. We first provide explicit formulas for the asymptotic mean and variance (and also higher moments), and obtain optimal...