IDEAS home Printed from https://ideas.repec.org/a/spr/testjl/v21y2012i2p369-385.html
   My bibliography  Save this article

Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables

Author

Listed:
  • Manuel Ordóñez Cabrera
  • Andrew Rosalsky
  • Andrei Volodin

Abstract

No abstract is available for this item.

Suggested Citation

  • Manuel Ordóñez Cabrera & Andrew Rosalsky & Andrei Volodin, 2012. "Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 369-385, June.
    • Handle: RePEc:spr:testjl:v:21:y:2012:i:2:p:369-385
    DOI: 10.1007/s11749-011-0248-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11749-011-0248-0
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11749-011-0248-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Xin-mei Shen & Zheng-yan Lin & Yi Zhang, 2009. "Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 669-685, December.
    2. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
    3. Sheremet, Oleg & Lucas, André, 2009. "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 415-425, June.
    4. B. Prakasa Rao, 2009. "Conditional independence, conditional mixing and conditional association," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(2), pages 441-460, June.
    5. Jeffrey T. Leek, 2011. "Asymptotic Conditional Singular Value Decomposition for High-Dimensional Genomic Data," Biometrics, The International Biometric Society, vol. 67(2), pages 344-352, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xuejun Wang & Yi Wu & Wei Yu & Wenzhi Yang & Shuhe Hu, 2019. "Asymptotics for the linear kernel quantile estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1144-1174, December.
    2. Hadjikyriakou, Milto, 2013. "Comparison of conditional expectations of functions of strong N-demimartingales and functions of sums of conditionally independent random variables," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1282-1286.
    3. G. Forchini & Bin Jiang & Bin Peng, 2015. "Common Shocks in panels with Endogenous Regressors," Monash Econometrics and Business Statistics Working Papers 8/15, Monash University, Department of Econometrics and Business Statistics.
    4. Giovanni Forchini & Bin Jiang & Bin Peng, 2018. "TSLS and LIML Estimators in Panels with Unobserved Shocks," Econometrics, MDPI, vol. 6(2), pages 1-12, April.
    5. Aiting Shen & Andrei Volodin, 2017. "Weak and strong laws of large numbers for arrays of rowwise END random variables and their applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(6), pages 605-625, November.
    6. Giovanni Forchini & Bin Peng, 2016. "A Conditional Approach to Panel Data Models with Common Shocks," Econometrics, MDPI, vol. 4(1), pages 1-12, January.
    7. Yuan, Demei & Hu, Xuemei, 2015. "A conditional version of the extended Kolmogorov–Feller weak law of large numbers," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 99-107.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    2. Zhang, Dalu, 2014. "Vine copulas and applications to the European Union sovereign debt analysis," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 46-56.
    3. Ozonder, Gozde & Miller, Eric J., 2021. "Longitudinal investigation of skeletal activity episode timing decisions – A copula approach," Journal of choice modelling, Elsevier, vol. 40(C).
    4. Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
    5. Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
    6. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
    7. Schinke-Nendza, A. & von Loeper, F. & Osinski, P. & Schaumann, P. & Schmidt, V. & Weber, C., 2021. "Probabilistic forecasting of photovoltaic power supply — A hybrid approach using D-vine copulas to model spatial dependencies," Applied Energy, Elsevier, vol. 304(C).
    8. Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
    9. Xiangying Meng & Xianhua Wei, 2018. "Systematic Correlation is Priced as Risk Factor," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-2.
    10. repec:hal:spmain:info:hdl:2441/75dbbb2hc596np6q8flqf6i79k is not listed on IDEAS
    11. Tai-Hsin Huang & Nan-Hung Liu & Subal C. Kumbhakar, 2018. "Joint estimation of the Lerner index and cost efficiency using copula methods," Empirical Economics, Springer, vol. 54(2), pages 799-822, March.
    12. Bryan S. Graham, 2017. "An econometric model of network formation with degree heterogeneity," CeMMAP working papers 08/17, Institute for Fiscal Studies.
    13. Aristidis Nikoloulopoulos & Harry Joe, 2015. "Factor Copula Models for Item Response Data," Psychometrika, Springer;The Psychometric Society, vol. 80(1), pages 126-150, March.
    14. Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2013. "Measuring Association and Dependence Between Random Vectors," LIDAM Discussion Papers ISBA 2013026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    15. Nagler, Thomas & Czado, Claudia, 2016. "Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 69-89.
    16. Benoumechiara Nazih & Bousquet Nicolas & Michel Bertrand & Saint-Pierre Philippe, 2020. "Detecting and modeling critical dependence structures between random inputs of computer models," Dependence Modeling, De Gruyter, vol. 8(1), pages 263-297, January.
    17. M. Jones & Arthur Pewsey & Shogo Kato, 2015. "On a class of circulas: copulas for circular distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(5), pages 843-862, October.
    18. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Documents de travail du Centre d'Economie de la Sorbonne 10040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    19. Pavel Krupskii, 2017. "Copula-based measures of reflection and permutation asymmetry and statistical tests," Statistical Papers, Springer, vol. 58(4), pages 1165-1187, December.
    20. David Walsh-Jones & Daniel Jones & Christoph Reisinger, 2014. "Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines," Papers 1411.4970, arXiv.org.
    21. Hobæk Haff, Ingrid, 2012. "Comparison of estimators for pair-copula constructions," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 91-105.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:21:y:2012:i:2:p:369-385. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.