Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
AbstractThis paper surveys recent developments in the strong law of large numbers for dependent heterogeneous processes. We prove a generalised version of a recent strong law for Lz-mixingales, and also a new strong law for Lpmixingales. These results greatly relax the dependence and heterogeneity conditions relative to those currently cited, and introduce explicit trade-offs between dependence and heterogeneity. The results are applied to proving strong laws for near-epoch dependent functions of mixing processes. We contrast several methods for obtaining these results, including mapping directly to the mixingale properties, and applying a truncation argument.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 16 (1997)
Issue (Month): 3 ()
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