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A note on moment bounds for strong mixing sequences

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  • Kim, Tae Yoon

Abstract

For a g > 2 and finite K, E[summation operator]ni=1Xig [less-than-or-equals, slant] Kng/2 (all n [greater-or-equal, slanted] 1) is obtained for a strictly stationary strong mixing or [alpha]-mixing sequence }0Xi} under less restrictive conditions than Yokoyama's (1980). Doob's argument (1953) for [phi]-mixing sequences of r.v.'s can be applied directly to [alpha]-mixing sequences and leads to improved results for moment bounds when g > 4. As applications, some limiting laws for [alpha]-mixing are discussed.

Suggested Citation

  • Kim, Tae Yoon, 1993. "A note on moment bounds for strong mixing sequences," Statistics & Probability Letters, Elsevier, vol. 16(2), pages 163-168, January.
    • Handle: RePEc:eee:stapro:v:16:y:1993:i:2:p:163-168
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    Citations

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    Cited by:

    1. Kim, Tae Yoon & Cox, Denis D., 1997. "A Study on Bandwidth Selection in Density Estimation under Dependence," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 190-203, August.
    2. Behrendt, Simon & Schweikert, Karsten, 2021. "A Note on Adaptive Group Lasso for Structural Break Time Series," Econometrics and Statistics, Elsevier, vol. 17(C), pages 156-172.
    3. Cox, Dennis D. & Kim, Tae Yoon, 1995. "Moment bounds for mixing random variables useful in nonparametric function estimation," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 151-158, March.
    4. Junke Kou & Youming Liu, 2018. "Wavelet regression estimations with strong mixing data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(4), pages 667-688, December.

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