A Note on Exponential Inequalities of ψ-Weakly Dependent Sequences

Title & Authors
A Note on Exponential Inequalities of ψ-Weakly Dependent Sequences
Hwang, Eunju; Shin, Dong Wan;

Abstract
Two exponential inequalities are established for a wide class of general weakly dependent sequences of random variables, called $\small{{\psi}}$-weakly dependent process which unify weak dependence conditions such as mixing, association, Gaussian sequences and Bernoulli shifts. The $\small{{\psi}}$-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;
Language
English
Cited by
1.
Kernel estimators of mode under $$\psi$$ ψ -weak dependence, Annals of the Institute of Statistical Mathematics, 2016, 68, 2, 301
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