The Central Limit Theorem for uniformly strong mixing measures
May 15, 2008 1pm, 646 PGH
Abstract
Under the assumption of ergodicity, the theorem of Shannon-McMillan-Breiman
states that the measure theoretic entropy equal the exponential decay rate
of the measure of cylinder sets (almost everywhere). This is true for every
finite and generating partition. This result was subsequently generalise to
infinite partitions by Carleson and Chun. In 1962 Ibragimov proved the
measures of cylinder sets are lognormally distributed under the assumptions
that the measure is strongly mixing and its conditional entropy function is
sufficiently well approximable. We prove the CLT for the measures of
cylinder sets of for uniformly strong mixing systems and infinite
partitions and show that the rate of convergence is polynomial. Apart from
the mixing property we require that a higher than fourth moment of the
information function is finite. In particular we do not require any
regularity of the conditional entropy function. We also obtain the law of
the iterated logarithm and the weak invariance principle for the
information function.
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