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Some mixing properties of conditionally independent processes

Author

Listed:
  • Manel Kacem
  • Stéphane Loisel
  • Véronique Maume-Deschamps

Abstract

In this paper, we consider conditionally independent processes with respect to some dynamic factor. More precisely, we assume that for all n, random variables (Xi)i ⩽ n are conditionally independent given V_n=(V1,...,Vn)$\underline{V}_{n}=(V_1, \ldots , V_n)$. We study the mixing properties of the process (Xi)i∈N$(X_i)_{ i \in \mathbb {N}}$ and we provide an asymptotic result. Our work is motivated by some examples related to risk theory.

Suggested Citation

  • Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1241-1259, March.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:5:p:1241-1259
    DOI: 10.1080/03610926.2013.851235
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