On conditionally mixing processes

Veijanen, Ari

doi:10.1016/0167-7152(90)90096-p

Cited by 2 publications

(3 citation statements)

References 6 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Similar definitions can be found in Veijanen [14]. This model might be used to explain phenomena that show both global and short range dependence, e.g.…”

Section: Then Equation (3) Holdsmentioning

confidence: 89%

See 1 more Smart Citation

Testing serial non-independence by self-centring and self-normalizing

Jiang

Hahn

2009

Statistics

View full text Add to dashboard Cite

Let {X i , i ≥ 1} be a sequence of random variables. This paper studies when the following self-centred, self-normalized central limit theorem holds:where X = n+1 i=1 X i /(n + 1), → L stands for convergence in distribution and N(0, 1) for a standard normal distribution. It is shown that if (1) X i 's are independent identically distributed with X 1 in the domain of attraction of the normal law (DAN), (2) X i 's are exchangeable with mixands in the DAN in probability, or (3) X i 's are stationary with EX 2 1 < ∞, uncorrelated, uniform mixing with appropriate mixing coefficients, then ( * ) holds. Since the results depend on variables that can all be calculated explicitly from the data, they provide a powerful method for statistical testing. An application from the stock market is briefly discussed.

show abstract

“…Similar definitions can be found in Veijanen [14]. This model might be used to explain phenomena that show both global and short range dependence, e.g.…”

Section: Then Equation (3) Holdsmentioning

confidence: 89%

“…In practice, condition (14) is sometimes difficult to check. However, since X 1 ∈ DOA is a stronger condition than that ξ 1 ∈ DOA in P -probability, the following corollary is a special case of Theorem 2.2.…”

Section: Remark 23 Conditionmentioning

confidence: 99%

Testing serial non-independence by self-centring and self-normalizing

Jiang

Hahn

2009

Statistics

View full text Add to dashboard Cite

show abstract

“…Let us mention that the terminology conditionally mixing has been used with different meanings by Parakasa Rao (2009) [36], Dziubdziela (1986) [21] and Veijanen (1990) [40]. In particular, the work of Veijanen is concerned with partially observable random fields.…”

Section: 3mentioning

confidence: 99%

Some mixing properties of conditionally independent processes

Kacem

Loisel

Maume-Deschamps

2016

Communications in Statistics - Theory and Methods

View full text Add to dashboard Cite

Abstract. In this paper we consider conditionally independent processes with respect to some dynamic factor. More precisely, we assume that for all i ∈ N, the random variables X1, . . . , Xi are conditionally independent with respect to vector V i = (V1, . . . , Vi). We study the mixing properties of the Xi's when conditioning is given with respect to unbounded memory of the factor. Our work is motivated by some real examples related to risk theory.Acknowledgments.

show abstract

On conditionally mixing processes

Cited by 2 publications

References 6 publications

Testing serial non-independence by self-centring and self-normalizing

Testing serial non-independence by self-centring and self-normalizing

Some mixing properties of conditionally independent processes

Contact Info

Product

Resources

About