A New Mixing Condition
AbstractIn this paper a new mixing condition for sequences of random variables is considered. This mixing condition is termed ÃƒÂ£-mixing. Whereas mixing conditions such as ÃƒÂ¡-mixing are typically defined in terms of entire ÃƒÂ³-fields of sets generated by random variables in the distant past and future, ÃƒÂ£-mixing is defined in terms of a smaller class of sets: the finite dimensional cylinder sets. This leads to a definition of mixing more general than those in current use. A Rosenthal inequality, law of large numbers, and functional central limit theorem are proved for ÃƒÂ£-mixing processes.
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Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 348.
Date of creation: 01 Sep 2007
Date of revision:
Mixing; Weak Dependence; Hardy-Krause Variation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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- Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
- Beare, Brendan, 2008. "Copulas and Temporal Dependence," University of California at San Diego, Economics Working Paper Series qt2880q2jq, Department of Economics, UC San Diego.
- Beare, Brendan K., 2009. "Copulas and Temporal Dependence," University of California at San Diego, Economics Working Paper Series qt87p829d4, Department of Economics, UC San Diego.
- Beare, Brendan K., 2009. "A generalization of Hoeffding's lemma, and a new class of covariance inequalities," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 637-642, March.
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