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http://dx.doi.org/10.5351/CSAM.2014.21.3.245

A Note on Exponential Inequalities of ψ-Weakly Dependent Sequences  

Hwang, Eunju (Department of Applied Statistics, Gachon University)
Shin, Dong Wan (Department of Statistics, Ewha University)
Publication Information
Communications for Statistical Applications and Methods / v.21, no.3, 2014 , pp. 245-251 More about this Journal
Abstract
Two exponential inequalities are established for a wide class of general weakly dependent sequences of random variables, called ${\psi}$-weakly dependent process which unify weak dependence conditions such as mixing, association, Gaussian sequences and Bernoulli shifts. The ${\psi}$-weakly dependent process includes, for examples, stationary ARMA processes, bilinear processes, and threshold autoregressive processes, and includes essentially all classes of weakly dependent stationary processes of interest in statistics under natural conditions on the process parameters. The two exponential inequalities are established on more general conditions than some existing ones, and are proven in simpler ways.
Keywords
Weak dependence exponential inequality; Bernstein-type inequality; partial sum of random variables;
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Times Cited By KSCI : 2  (Citation Analysis)
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