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A new weak dependence condition and applications to moment inequalities

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Cited by:

  1. Paul Doukhan & Gilles Teyssière & Pablo Winant, 2005. "A Larch Vector Valued Process," Working Papers 2005-49, Center for Research in Economics and Statistics.
  2. El Ghouch, Anouar & Genton, Marc G. & Bouezmarni , Taoufik, 2012. "Measuring the Discrepancy of a Parametric Model via Local Polynomial Smoothing," LIDAM Discussion Papers ISBA 2012001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Wu, Wei Biao & Huang, Yinxiao & Huang, Yibi, 2010. "Kernel estimation for time series: An asymptotic theory," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2412-2431, December.
  4. Jerôme Dedecker & Paul Doukhan, 2002. "A New Covariance Inequality and Applications," Working Papers 2002-25, Center for Research in Economics and Statistics.
  5. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May.
  6. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  7. Pinkse, Joris & Shen, Lihong & Slade, Margaret, 2007. "A central limit theorem for endogenous locations and complex spatial interactions," Journal of Econometrics, Elsevier, vol. 140(1), pages 215-225, September.
  8. Nassira Menni & Abdelkader Tatachak, 2018. "A note on estimating the conditional expectation under censoring and association: strong uniform consistency," Statistical Papers, Springer, vol. 59(3), pages 1009-1030, September.
  9. Katharina Strohriegl & Robert Hable, 2016. "Qualitative robustness of estimators on stochastic processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 895-917, November.
  10. Paul Doukhan & Olivier Wintenberger, 2005. "An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions," Working Papers 2005-51, Center for Research in Economics and Statistics.
  11. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
  12. Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier, 2017. "Drift in Transaction-Level Asset Price Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 769-790, September.
  13. Bulinski, Alexander & Suquet, Charles, 2001. "Normal approximation for quasi-associated random fields," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 215-226, September.
  14. McElroy, Tucker & Politis, Dimitris N., 2013. "Distribution theory for the studentized mean for long, short, and negative memory time series," Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
  15. Francisco Blasques, 2014. "Transformed Polynomials For Nonlinear Autoregressive Models Of The Conditional Mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 218-238, May.
  16. Coulon-Prieur, Clémentine & Doukhan, Paul, 2000. "A triangular central limit theorem under a new weak dependence condition," Statistics & Probability Letters, Elsevier, vol. 47(1), pages 61-68, March.
  17. S. Lahiri & S. Mukhopadhyay, 2011. "Comments on: Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 491-496, November.
  18. Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  19. Denis Kojevnikov, 2021. "The Bootstrap for Network Dependent Processes," Papers 2101.12312, arXiv.org.
  20. Hwang, Eunju & Shin, Dong Wan, 2014. "Infinite-order, long-memory heterogeneous autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 339-358.
  21. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
  22. Mamadou Lamine Diop & William Kengne, 2023. "A general procedure for change-point detection in multivariate time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 1-33, March.
  23. Alexander Braumann & Jens‐Peter Kreiss & Marco Meyer, 2021. "Simultaneous inference for autocovariances based on autoregressive sieve bootstrap," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 534-553, September.
  24. Berkes, István & Horváth, Lajos & Rice, Gregory, 2013. "Weak invariance principles for sums of dependent random functions," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 385-403.
  25. Dehling, Herold & Durieu, Olivier, 2011. "Empirical processes of multidimensional systems with multiple mixing properties," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1076-1096, May.
  26. Fokianos, Konstantinos & Moysiadis, Theodoros, 2017. "Binary time series models driven by a latent process," Econometrics and Statistics, Elsevier, vol. 2(C), pages 117-130.
  27. Michael P. Leung, 2022. "Causal Inference Under Approximate Neighborhood Interference," Econometrica, Econometric Society, vol. 90(1), pages 267-293, January.
  28. Kojevnikov, Denis & Marmer, Vadim & Song, Kyungchul, 2021. "Limit theorems for network dependent random variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 882-908.
  29. 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.
  30. P. Chigansky & Yu. Kutoyants, 2013. "Estimation in threshold autoregressive models with correlated innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(5), pages 959-992, October.
  31. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
  32. Dehling, Herold & Fried, Roland & Sharipov, Olimjon Sh. & Vogel, Daniel & Wornowizki, Max, 2013. "Estimation of the variance of partial sums of dependent processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 141-147.
  33. Paul Doukhan, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 447-450, September.
  34. Matias D. Cattaneo & Yingjie Feng & Rocio Titiunik, 2021. "Prediction Intervals for Synthetic Control Methods," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1865-1880, October.
  35. Doukhan, Paul & Lang, Gabriel & Leucht, Anne & Neumann, Michael H., 2014. "Dependent wild bootstrap for the empirical process," Working Papers 35246, University of Mannheim, Department of Economics.
  36. Olivier Durieu & Marco Tusche, 2014. "An Empirical Process Central Limit Theorem for Multidimensional Dependent Data," Journal of Theoretical Probability, Springer, vol. 27(1), pages 249-277, March.
  37. Hélène Cossette & Etienne Marceau & Véronique Maume-Deschamps, 2011. "Adjustment Coefficient for Risk Processes in Some Dependent Contexts," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 695-721, December.
  38. Hwang, Eunju & Shin, Dong Wan, 2012. "Strong consistency of the stationary bootstrap under ψ-weak dependence," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 488-495.
  39. Xuan Liang & Jiti Gao & Xiaodong Gong, 2022. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1784-1802, October.
  40. Brendan K. Beare, 2007. "A New Mixing Condition," Economics Series Working Papers 348, University of Oxford, Department of Economics.
  41. Alessio Sancetta, 2007. "Weak Convergence of Laws on ℝ K with Common Marginals," Journal of Theoretical Probability, Springer, vol. 20(2), pages 371-380, June.
  42. David Coupier & Paul Doukhan & Bernard Ycart, 2005. "Zero-one Laws for Binary Random Fields," Working Papers 2005-47, Center for Research in Economics and Statistics.
  43. Sancetta, Alessio, 2005. "Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric," Statistics & Probability Letters, Elsevier, vol. 75(3), pages 158-168, December.
  44. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.
  45. Zacharias Psaradakis, 2008. "Assessing Time‐Reversibility Under Minimal Assumptions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 881-905, September.
  46. Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
  47. Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
  48. Rootzén, Holger, 2009. "Weak convergence of the tail empirical process for dependent sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 468-490, February.
  49. Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
  50. Amiri, Aboubacar & Dabo-Niang, Sophie, 2018. "Density estimation over spatio-temporal data streams," Econometrics and Statistics, Elsevier, vol. 5(C), pages 148-170.
  51. Xu, Xingbai & Lee, Lung-fei, 2018. "Sieve maximum likelihood estimation of the spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, vol. 203(1), pages 96-112.
  52. Paul Doukhan & Hélène Madre & Mathieu Rosenbaum, 2005. "Weak Dependence Beyond Mixing for Infinite ARCH-type Bilinear Models," Working Papers 2005-50, Center for Research in Economics and Statistics.
  53. Ogihara, Teppei & Yoshida, Nakahiro, 2014. "Quasi-likelihood analysis for nonsynchronously observed diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2954-3008.
  54. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.
  55. Jean-Marc Bardet & Paul Doukhan & José Rafael Leon_, 2005. "Uniform Limit Theorems for the Integrated Periodogram of Weakly Dependent Time Series and their Applications to Whittle's Estimate," Working Papers 2005-46, Center for Research in Economics and Statistics.
  56. Liliana Forzani & Ricardo Fraiman & Pamela Llop, 2013. "Density estimation for spatial-temporal models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 321-342, June.
  57. Dehling, Herold & Durieu, Olivier & Volny, Dalibor, 2009. "New techniques for empirical processes of dependent data," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3699-3718, October.
  58. Kokoszka, Piotr & Reimherr, Matthew, 2013. "Asymptotic normality of the principal components of functional time series," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1546-1562.
  59. Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis, 2016. "Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 713-720, September.
  60. Eunju Hwang & Dong Shin, 2016. "Kernel estimators of mode under $$\psi $$ ψ -weak dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 301-327, April.
  61. Berkes, István & Hörmann, Siegfried & Schauer, Johannes, 2009. "Asymptotic results for the empirical process of stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1298-1324, April.
  62. Guessoum, Zohra & Ould Saïd, Elias & Sadki, Ourida & Tatachak, Abdelkader, 2012. "A note on the Lynden-Bell estimator under association," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1994-2000.
  63. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
  64. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
  65. Carvalho, Carlos & Masini, Ricardo & Medeiros, Marcelo C., 2018. "ArCo: An artificial counterfactual approach for high-dimensional panel time-series data," Journal of Econometrics, Elsevier, vol. 207(2), pages 352-380.
  66. J. Dedecker & C. Prieur, 2004. "Coupling for τ-Dependent Sequences and Applications," Journal of Theoretical Probability, Springer, vol. 17(4), pages 861-885, October.
  67. Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
  68. Patrice Bertail, 2011. "Comments on: Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 487-490, November.
  69. Cui, Yunwei & Zheng, Qi, 2017. "Conditional maximum likelihood estimation for a class of observation-driven time series models for count data," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 193-201.
  70. Moysiadis, Theodoros & Fokianos, Konstantinos, 2014. "On binary and categorical time series models with feedback," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 209-228.
  71. Doukhan, P. & Pommeret, D. & Reboul, L., 2015. "Data driven smooth test of comparison for dependent sequences," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 147-165.
  72. José G. Gómez-García & Christophe Chesneau, 2021. "A Dependent Lindeberg Central Limit Theorem for Cluster Functionals on Stationary Random Fields," Mathematics, MDPI, vol. 9(3), pages 1-14, January.
  73. Dedecker, Jérôme & Doukhan, Paul, 2003. "A new covariance inequality and applications," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 63-80, July.
  74. Dudzinski, Marcin, 2003. "A note on the almost sure central limit theorem for some dependent random variables," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 31-40, January.
  75. Sam Efromovich, 2020. "Missing not at random and the nonparametric estimation of the spectral density," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 652-675, September.
  76. Hamza Daoudi & Zouaoui Chikr Elmezouar & Fatimah Alshahrani, 2023. "Asymptotic Results of Some Conditional Nonparametric Functional Parameters in High-Dimensional Associated Data," Mathematics, MDPI, vol. 11(20), pages 1-24, October.
  77. Paul Doukhan & Silika Prohl & Christian Robert, 2011. "Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 447-479, November.
  78. Fiecas , Mark & Franke, Jurgen & von Sachs, Rainer & Tadjuidje , Joseph, 2012. "Shrinkage Estimation for Multivariate Hidden Markov Mixture Models," LIDAM Discussion Papers ISBA 2012016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  79. Jean‐Marc Bardet & Paul Doukhan & José Rafael León, 2008. "Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 906-945, September.
  80. Germán Aneiros, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 439-441, September.
  81. Doukhan, Paul & Neumann, Michael H., 2007. "Probability and moment inequalities for sums of weakly dependent random variables, with applications," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 878-903, July.
  82. D. M. Nachane, 2018. "Time-varying spectral analysis: theory and applications," Indian Economic Review, Springer, vol. 53(1), pages 3-27, December.
  83. Alessio Sancetta, 2009. "Strong law of large numbers for pairwise positive quadrant dependent random variables," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 55-64, February.
  84. Doukhan, Paul & Fokianos, Konstantinos & Li, Xiaoyin, 2012. "On weak dependence conditions: The case of discrete valued processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1941-1948.
  85. Jean-Marc Bardet & Paul Doukhan & José León, 2008. "A functional limit theorem for η-weakly dependent processes and its applications," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 265-280, October.
  86. Said Attaoui, 2014. "Strong uniform consistency rates and asymptotic normality of conditional density estimator in the single functional index modeling for time series data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(3), pages 257-286, July.
  87. Xavier Guyon & Cécile Hardouin, 2014. "Misparametrization subsets for penalized least squares model selection," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 283-294, October.
  88. Dedecker, Jérôme & Prieur, Clémentine, 2007. "An empirical central limit theorem for dependent sequences," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 121-142, January.
  89. Zhou Zhou & Wei Biao Wu, 2010. "Simultaneous inference of linear models with time varying coefficients," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(4), pages 513-531, September.
  90. Sancetta, Alessio, 2007. "Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1376-1390, August.
  91. Hwang, Eunju & Shin, Dong Wan, 2013. "Stationary bootstrapping realized volatility," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2045-2051.
  92. Hwang, Eunju & Shin, Dong Wan, 2012. "Stationary bootstrap for kernel density estimators under ψ-weak dependence," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1581-1593.
  93. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Feb 2022.
  94. Jenish, Nazgul & Prucha, Ingmar R., 2012. "On spatial processes and asymptotic inference under near-epoch dependence," Journal of Econometrics, Elsevier, vol. 170(1), pages 178-190.
  95. Jean-Marc Bardet & Paul Doukhan & José Rafael Leon_, 2005. "A Functional Limit Theorem for weakly Dependent Processes and its Applications," Working Papers 2005-45, Center for Research in Economics and Statistics.
  96. Joris Pinkse & Margaret Slade & Lihong Shen, 2006. "Dynamic Spatial Discrete Choice Using One-step GMM: An Application to Mine Operating Decisions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(1), pages 53-99.
  97. Giuliano-Antonini, R. & Weber, M., 2008. "The theta-dependence coefficient and an Almost Sure Limit Theorem for random iterative models," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 564-575, April.
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