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Complete q -order moment convergence of moving average processes under ϕ -mixing assumptions

Xing-Cai Zhou, Jin-Guan Lin (2014)

Applications of Mathematics

Let { Y i , - < i < } be a doubly infinite sequence of identically distributed ϕ -mixing random variables, and { a i , - < i < } an absolutely summable sequence of real numbers. We prove the complete q -order moment convergence for the partial sums of moving average processes X n = i = - a i Y i + n , n 1 based on the sequence { Y i , - < i < } of ϕ -mixing random variables under some suitable conditions. These results generalize and complement earlier results.

Componentwise concave copulas and their asymmetry

Fabrizio Durante, Pier Luigi Papini (2009)

Kybernetika

The class of componentwise concave copulas is considered, with particular emphasis on its closure under some constructions of copulas (e.g., ordinal sum) and its relations with other classes of copulas characterized by some notions of concavity and/or convexity. Then, a sharp upper bound is given for the L -measure of non-exchangeability for copulas belonging to this class.

Concentration inequalities for semi-bounded martingales

Yu Miao (2008)

ESAIM: Probability and Statistics

In this paper, we apply the technique of decoupling to obtain some exponential inequalities for semi-bounded martingale, which extend the results of de la Peña, Ann. probab. 27 (1999) 537–564.

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