To measure the dependence between a real-valued random variable X and a σ -algebra M, we consider four distances between the conditional distribution function of X given M and the distribution function of X. The coefficients obtained are weaker than the corresponding mixing coefficients and may be computed in many situations. In particular, we show that they are well adapted to functions of mixing sequences, iterated random functions and dynamical systems. Starting from a new covariance inequality, we study the mean integrated square error for estimating the unknown marginal density of a stationary sequence. We obtain optimal rates for kernel estimators as well as projection estimators on a well localized basis, under a minimal condition on the coefficients. Using recent results, we show that our coefficients may be also used to obtain various exponential inequalities, a concentration inequality for Lipschitz functions, and a Berry-Esseen type inequality.
L'accès aux archives de la revue « Annales de l'I. H. P., section B » (http://www.elsevier.com/locate/anihpb) implique l'accord avec les conditions générales d'utilisation (http://www.numdam.org/conditions). Toute utilisation commerciale ou impression systématique est constitutive d'une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright. Article numérisé dans le cadre du programme Numérisation de documents anciens mathématiques
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.