Weakly dependent chains with infinite memory (Q952736)

The authors consider the stationary solution of the equation \(X_t = F(X_{t-1},X_{t-2},\ldots;\xi_t)\) a.s. for \(t\in \mathbb{Z}\) where \((\xi_t)_{t\in\mathbb{Z}}\) is a sequence of i.i.d. random variables, \(F\) takes values in a Banach space and satisfies the Lipschitz-type condition. An explicit upper bound for the \(\tau\)-dependence coefficient introduced by \textit{J. Dedecker} and \textit{C. Prieur} [J. Theor. Probab. 17, No. 4, 855--885 (2004; Zbl 1067.60008)] of \((X_t)_{t\in\mathbb{Z}}\) is provided under specified assumptions concerning \(F\) (involving certain Orlicz space). The relation between the above mentioned result and the analogous one for mixing coefficients established in [\textit{M. Iosifescu, S. Grigorescu}, Dependence with Complete Connections and Applications. Cambridge Tracts in Mathematics. 96. (Cambridge), UK: Cambridge University Press. (1990; Zbl 0749.60067)] is discussed. SLLN, CLT and strong invariance principle are obtained using the bounds for \(\tau(r)\) as \(r\to \infty\). Among various examples one can mention non-linear autoregressive models and the Galton -- Watson process with immigration.