A Self-Normalized Central Limit Theorem for Markov Random Walks

Abstract

Motivated by the study of the asymptotic normality of the least-squares estimator in the (autoregressive) AR(1) model under possibly infinite variance, in this paper we investigate a self-normalized central limit theorem for Markov random walks. That is, let {X n , n ≥ 0} be a Markov chain on a general state space X with transition probability P and invariant measure π. Suppose that an additive component S n takes values on the real line , and is adjoined to the chain such that {S n , n ≥ 1} is a Markov random walk. Assume that S n = ∑ k=1 n ξ k , and that {ξ n , n ≥ 1} is a nondegenerate and stationary sequence under π that belongs to the domain of attraction of the normal law with zero mean and possibly infinite variance. By making use of an asymptotic variance formula of S n / √n, we prove a self-normalized central limit theorem for S n under some regularity conditions. An essential idea in our proof is to bound the covariance of the Markov random walk via a sequence of weight functions, which plays a crucial role in determining the moment condition and dependence structure of the Markov random walk. As illustrations, we apply our results to the finite-state Markov chain, the AR(1) model, and the linear state space model.