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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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. "A generalization of Hoeffding's lemma, and a new class of covariance inequalities," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 637-642, March.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Caroline Wise).
If references are entirely missing, you can add them using this form.