MAXIMAL INEQUALITIES AND AN APPLICATION UNDER A WEAK DEPENDENCE
- Authors
- Hwang, Eunju; Shin, Dong Wan
- Issue Date
- Jan-2016
- Publisher
- KOREAN MATHEMATICAL SOC
- Keywords
- weak dependence; maximal moment inequality; linear process; functional central limit theorem
- Citation
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY, v.53, no.1, pp.57 - 72
- Journal Title
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY
- Volume
- 53
- Number
- 1
- Start Page
- 57
- End Page
- 72
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/8713
- DOI
- 10.4134/JKMS.2016.53.1.057
- ISSN
- 0304-9914
- Abstract
- We establish maximal moment inequalities of partial sums under psi-weak dependence, which has been proposed by Doukhan and Louhichi [P. Doukhan and S. Louhichi, A new weak dependence condition and application to moment inequality, Stochastic Process. Appl. 84 (1999), 313-3421, to unify weak dependence such as mixing, association, Gaussian sequences and Bernoulli shifts. As an application of maximal moment inequalities, a functional central limit theorem is developed for linear processes with psi-weakly dependent innovations.
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