Displaying similar documents to “Forward estimation for ergodic time series”

Remarks on the tightness of cocycles

Jon Aaronson, Benjamin Weiss (2000)

Colloquium Mathematicae

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We prove a generalised tightness theorem for cocycles over an ergodic probability preserving transformation with values in Polish topological groups. We also show that subsequence tightness of cocycles over a mixing probability preserving transformation implies tightness. An example shows that this latter result may fail for cocycles over a mildly mixing probability preserving transformation.

Large deviations for generic stationary processes

Emmanuel Lesigne, Dalibor Volný (2000)

Colloquium Mathematicae

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Let (Ω,A,μ,T) be a measure preserving dynamical system. The speed of convergence in probability in the ergodic theorem for a generic function on Ω is arbitrarily slow.

Testing stationary processes for independence

Gusztáv Morvai, Benjamin Weiss (2011)

Annales de l'I.H.P. Probabilités et statistiques

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Let 0 denote the class of all real valued i.i.d. processes and 1 all other ergodic real valued stationary processes. In spite of the fact that these classes are not countably tight we give a strongly consistent sequential test for distinguishing between them.

Appendix on return-time sequences

Jean Bourgain, Harry Furstenberg, Yitzhak Katznelson, Donald S. Ornstein (1989)

Publications Mathématiques de l'IHÉS

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Moderate deviations for stationary sequences of bounded random variables

Jérôme Dedecker, Florence Merlevède, Magda Peligrad, Sergey Utev (2009)

Annales de l'I.H.P. Probabilités et statistiques

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In this paper we derive the moderate deviation principle for stationary sequences of bounded random variables under martingale-type conditions. Applications to functions of -mixing sequences, contracting Markov chains, expanding maps of the interval, and symmetric random walks on the circle are given.