# ergodic theory for markov processes

For an ergodic Markov Chain $$\frac{1}{N}\sum_{i=1}^n f(X_i) \rightarrow E_\pi[f]$$ where $\pi$ is the invariant distribution. I am also dealing with a Markovian process (a state space model to be specific) and I have a quantity like the following: $$\frac{1}{T} \sum_{t=1}^T \log p(x_t \mid x_{t-1},\theta)$$ where the state space model that generated the data is $x(0) \sim p(x_0)$ and the transition model is $x_t \sim p(x_t \mid x_{t-1},\theta)$. Can I apply the ergodic theory in this setting? If so, what would the above sum converge to?

In general, instead of $\frac{1}{T}\sum_{t=1}^T f(X_t)$ what happens if I have $\frac{1}{T}\sum_{t=1}^T f(X_{t-L},\dots,X_t)$?

Say your state space is $\Omega$ and your process is $X_{t}$. Consider now a new state space - $\Omega \times \Omega$. Then $Y_{y} := (X_{t-1}, X_{t})$ is a Markov process on $\Omega \times \Omega$. Now, you can use the ergodic theorem, provided you know the invariant distribution of $Y_t$. This is a distribution of pairs $(X_{t-1}, X_t)$ and we may write it as the joint distribution $\pi( x_{t-1}, x_t)$. By laws of probability, $$\pi( x_{t-1}, x_t ) = \pi (x_{t-1} ) p( x_t | x_{t-1} ).$$
$H$ is the entropy function(al) and $H(X|Y)$ is the conditional entropy. According to Wikipedia: conditional entropy (or equivocation) quantifies the amount of information needed to describe the outcome of a random variable Y given that the value of another random variable X is known.
So I think maybe you should consider the negative of the above quantity. Regarding your last question - you can apply the same trick from above to $(X_{t-L} ,..., x_{t})$.
• Thanks, I actually figured out the expectation wrt $\pi(x_t,x_{t-1})$ on my own later on but I did not express the whole thing in terms of entropy terms. – YBE May 20 '16 at 18:42
• I am also interested in the second order derivative wrt the parameter $\theta$, i.e. $\frac{1}{T}\sum_t \partial_i \partial_j \log p(x_t \mid x_{t-1},\theta)$. This is related to the question here which I asked with a bounty of 50, though no one answered. I expect this would be related to the Fisher matrix in the standard iid data case. I am mainly interested in the generalization of the classical statistical setting to the Markovian setting. – YBE May 20 '16 at 19:09