A Note on Exponential Inequalities of ψ-Weakly Dependent Sequences

Abstract

Two exponential inequalities are established for a wide class of general weakly dependent sequences ofrandom variables, called ψ-weakly dependent process which unify weak dependence conditions such as mixing,association, Gaussian sequences and Bernoulli shifts. The ψ-weakly dependent process includes, for examples,stationary ARMA processes, bilinear processes, and threshold autoregressive processes, and includes essentiallyall classes of weakly dependent stationary processes of interest in statistics under natural conditions on the processparameters. The two exponential inequalities are established on more general conditions than some existing ones,and are proven in simpler ways.