A classification of invariant distributions and convergence of imprecise Markov chains

We analyse the structure of imprecise Markov chains and study their convergence by means of accessibility relations. We first identify the sets of states, so-called minimal permanent classes, that are the minimal sets capable of containing and preserving the whole probability mass of the chain. These classes generalise the essential classes known from the classical theory. We then define a class of extremal imprecise invariant distributions and show that they are uniquely determined by the values of the upper probability on minimal permanent classes. Moreover, we give conditions for unique convergence to these extremal invariant distributions

Fuzzy transformations and extremality of Gibbs measures for the Potts model on a Cayley tree

We continue our study of the full set of translation-invariant splitting Gibbs measures (TISGMs, translation-invariant tree-indexed Markov chains) for the $q$-state Potts model on a Cayley tree. In our previous work \cite{KRK} we gave a full description of the TISGMs, and showed in particular that at sufficiently low temperatures their number is $2^{q}-1$. In this paper we find some regions for the temperature parameter ensuring that a given TISGM is (non-)extreme in the set of all Gibbs measures. In particular we show the existence of a temperature interval for which there are at least $2^{q-1} + q$ extremal TISGMs. For the Cayley tree of order two we give explicit formulae and some numerical values.Comment: 44 pages. To appear in Random Structures and Algorithm

The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

We introduce the cluster index of a multivariate regularly varying stationary sequence and characterize the index in terms of the spectral tail process. This index plays a major role in limit theory for partial sums of regularly varying sequences. We illustrate the use of the cluster index by characterizing infinite variance stable limit distributions and precise large deviation results for sums of multivariate functions acting on a stationary Markov chain under a drift condition

Concentration inequalities for dependent Random variables via the martingale method

The martingale method is used to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the way, bounds are obtained on martingale differences associated with the random sequences, which may be of independent interest. As applications of the main result, concentration inequalities are also derived for inhomogeneous Markov chains and hidden Markov chains, and an extremal property associated with their martingale difference bounds is established. This work complements and generalizes certain concentration inequalities obtained by Marton and Samson, while also providing different proofs of some known results.Comment: Published in at http://dx.doi.org/10.1214/07-AOP384 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Entropic repulsion and lack of the gg-measure property for Dyson models

We consider Dyson models, Ising models with slow polynomial decay, at low temperature and show that its Gibbs measures deep in the phase transition region are not $g$-measures. The main ingredient in the proof is the occurrence of an entropic repulsion effect, which follows from the mesoscopic stability of a (single-point) interface for these long-range models in the phase transition region.Comment: 22 pages, 4 figure