Maximal inequalities and an application under a weak dependence
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We establish maximal moment inequalities of partial sums under $\psi$-weak dependence, which has been proposed by Doukhan and Louhichi [P. Doukhan and S. Louhichi, A new weak dependence condition and application to moment inequality, Stochastic Process. Appl. 84 (1999), 313--342], to unify weak dependence such as mixing, association, Gaussian sequences and Bernoulli shifts. As an application of maximal moment inequalities, a functional central limit theorem is developed for linear processes with $\psi$-weakly dependent innovations.
Abstract
We establish maximal moment inequalities of partial sums under $\psi$-weak dependence, which has been proposed by Doukhan and Louhichi [P. Doukhan and S. Louhichi, A new weak dependence condition and application to moment inequality, Stochastic Process. Appl. 84 (1999), 313--342], to unify weak dependence such as mixing, association, Gaussian sequences and Bernoulli shifts. As an application of maximal moment inequalities, a functional central limit theorem is developed for linear processes with $\psi$-weakly dependent innovations.
참고문헌 (15)
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