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PROBABILITY AND MOMENT INEQUALITIES UNDER DEPENDENCE
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PROBABILITY AND MOMENT INEQUALITIES UNDER DEPENDENCE
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Journal Article
PROBABILITY AND MOMENT INEQUALITIES UNDER DEPENDENCE
2013
Overview
We establish Nagaev and Rosenthal-type inequalities for dependent random variables. The imposed dependence conditions, which are expressed in terms of functional dependence measures, are directly related to the physical mechanisms of the underlying processes and are easy to work with. Our results are applied to nonlinear time series and kernel density estimates of linear processes.
Publisher
Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association
