Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables
This paper provides L 1 and weak laws of large numbers for uniformly integrable L 1-mixingales. The L 1-mixingale condition is a condition of asymptotic weak temporal dependence that is weaker than most conditions considered in the literature. Processes covered by the laws of large numbers include martingale difference, ø(·), ρ(·), and α(·) mixing, autoregressive moving average, infinite-order moving average, near epoch dependent, L 1-near epoch dependent, and mixingale sequences and triangular arrays. The random variables need not possess more than one finite moment and the L 1-mixingale numbers need not decay to zero at any particular rate. The proof of the results is remarkably simple and completely self-contained.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Apr 1987|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 626 395-4065
Fax: 626 405-9841
Web page: http://www.hss.caltech.edu/ss
|Order Information:|| Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125|
When requesting a correction, please mention this item's handle: RePEc:clt:sswopa:645. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Victoria Mason)
If references are entirely missing, you can add them using this form.