Limit theory for mixing dependent random variables
central limit theoreminvariance principlemaximal correlation coefficientstrong mixinguniform mixingweak dependence
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Zero-one laws (60F20) Stationary stochastic processes (60G10) Random fields (60G60) Asymptotic distribution theory in statistics (62E20)
The authors themselves write about their monograph: ``The modern limit theory for a sequence of mixing random variables has been studied deeply by many authors. This book will introduce them comprehensively, including Z. Y. Lin, C. R. Lu and Q. M. Shao's work for the weak convergence and strong approximations. The book consists of four parts. Part I contains the definitions of the later on used mixing terms for random sequences and such fundamental tools as covariance inequalities for pairs of variables, and variance and moment inequalities for partial sums. In Part II the authors treat questions of weak convergence of \(\alpha\)-, \(\rho\)- and \(\varphi\)-mixing random sequences and fields. They present a wealth of results concerning necessary and sufficient conditions for the central limit theorem and the weak invariance principle. Beyond that they prove some theorems on the rate of weak convergence. The title of part III of the book is ``Almost sure convergence and strong approximations. Here the authors deal with the weak and strong laws of large numbers, with complete convergence, with the strong invariance principle and the law of the iterated logarithm and with increments of partial sums for \(\alpha\)-, \(\rho\)- and \(\varphi\)-mixing sequences. Further results concerning strong approximation are presented for \(\varphi\)- and \(\alpha\)-mixing random fields. In Part IV (``Statistics of a dependent sample) the authors apply the results from parts II and III to some statistical questions. Empirical processes, U-statistics, linear models, density estimations, lacunary series, Gaussian sequences and additive functionals of Markov processes are among the treated subjects. The monograph contains many well-known but also a lot of recent results about weakly dependent random variables. While the former are mostly cited without proof many among the latters are published in English the first time and are provided with detailed proofs.
- Limiting behavior of certain mixtures of distributions
- Limit theorems for sums of random variables with mixture distribution
- scientific article; zbMATH DE number 4024418
- scientific article; zbMATH DE number 3992524
- scientific article; zbMATH DE number 4011574
- On a limit theorem for dependent random variables
- scientific article; zbMATH DE number 879949
- Limit theorems for strongly mixing stationary random measures
- Strong approximation for a class of stationary processes
- On limit theorems for continued fractions
- Mixing: Properties and examples
- Limit theorems for the empirical distribution function in the spatial case.
- Precise rate in the law of iterated logarithm for \(\rho\)-mixing sequence
- Spatial nonparametric regression estimation: Non-isotropic case
- Strong uniform consistency rates and asymptotic normality of conditional density estimator in the single functional index modeling for time series data
- Nonparametric testing for smooth structural changes in panel data models
- Portmanteau-type tests for unit-root and cointegration
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Limiting behavior of certain mixtures of distributions
- Asymptotic Palm likelihood theory for stationary point processes
- Marcinkiewicz laws with infinite moments
- On the strong law of large numbers for -mixing and -mixing random variables
- Empirical likelihood inference for partially time-varying coefficient errors-in-variables models
- Asymptotic theory of weakly dependent stochastic processes
- Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
- Wavelet-M-estimation for time-varying coefficient time series models
- Wavelet estimation in heteroscedastic regression models with \(\alpha\)-mixing random errors
- CLT for single functional index quantile regression under dependence structure
- On the estimation of density-weighted average derivative by wavelet methods under various dependence structures
- On the nonparametric conditional density and mode estimates in the single functional index model with strongly mixing data
- A self-normalized invariance principle for a \(\phi\)-mixing sequence
- On some graph-based two-sample tests for high dimension, low sample size data
- Terminal-dependent statistical inference for the integral form of FBSDE
- Wavelet estimation in time-varying coefficient models
- On normal approximation of discounted and strongly mixing random variables
- Unit root testing in presence of a double threshold process
- Strong laws for weighted sums of \(\psi \)-mixing random variables and applications in errors-in-variables regression models
- Self-organisation in cellular automata with coalescent particles: qualitative and quantitative approaches
- A generalized urn with multiple drawing and random addition
- Strong invariance principles for dependent random variables
- Almost sure central limit theorems for functionals of absolutely regular processes with application to \(U\)-statistics
- On the discounted global CLT for some weakly dependent random variables
- Convergence of weighted linear process for \(\rho \)-mixing random variables
- Obituary for Walter Philipp.
- Sum-functions of spacings of increasing order
- Estimation in semiparametric spatial regression
- Asymptotic normality of wavelet estimator for strong mixing errors
- Precise asymptotics in the Baum-Katz and Davis laws of large numbers of \(\rho\)-mixing sequences
- On complete convergence for arrays of rowwise dependent random variables
- Maximal moment inequality for partial sums of strong mixing sequences and application
- Analysis of the finiteness for the first collision time between two randomly moving particles
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- A central limit theorem for endogenous locations and complex spatial interactions
- Robust estimation in parametric time series models under long- and short-range-dependent structures
- An extension of almost sure central limit theorem for self-normalized products of sums for mixing sequences
- Asymptotics for weakly dependent errors-in-variables
- A Berry-Esseen type bound of wavelet estimator under linear process errors based on a strong mixing sequence
- Estimators of the asymptotic variance of stationary point processes -- a comparison
- Empirical likelihood for partially time-varying coefficient models with dependent observations
- Limit theorems for the discount sums of moving averages
- On some properties of autopersistence functions and autopersistence graphs
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
- The Invariant Measures of Markov Chains on Product Spaces and a Measurement of Dependence
- Temporal aggregation of Markov-switching financial return models
- Local linear M-estimation in non-parametric spatial regression
- scientific article; zbMATH DE number 992230 (Why is no real title available?)
- A Consistent Estimator for Linear Models with Dependent Observations
- scientific article; zbMATH DE number 4209201 (Why is no real title available?)
- Assessing the Goodness-of-Fit of Hidden Markov Models
- Estimation of the Entropy Functional from Dependent Samples
- Subsampling Variance Estimation for Non‐stationary Spatial Lattice Data
- Asymptotic properties of wavelet estimators in semiparametric regression models under dependent errors
- scientific article; zbMATH DE number 27026 (Why is no real title available?)
- scientific article; zbMATH DE number 51287 (Why is no real title available?)
- scientific article; zbMATH DE number 193205 (Why is no real title available?)
- Estimation in semi-parametric regression with non-stationary regressors
- Asymptotic properties of hybrid random processes modulated by Markov chains
- scientific article; zbMATH DE number 1034217 (Why is no real title available?)
- scientific article; zbMATH DE number 1034219 (Why is no real title available?)
- scientific article; zbMATH DE number 1034222 (Why is no real title available?)
- scientific article; zbMATH DE number 1110433 (Why is no real title available?)
- Renorming volatilities in a family of GARCH models
- The Spitzer law for \(\psi\)-mixing random variables
- A general central limit theorem for strong mixing sequences
- Self-normalized sequential change-point detection
- On Kolmogorov’s converse inequality for dependent random variables
- Unbalanced multi-drawing urn with random addition matrix
- Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
- Inference for Structural Breaks in Spatial Models
- On the nonparametric estimation of the functional regression based on censored data under strong mixing condition
- Wavelet estimation in varying coefficient models for censored dependent data
- Local linear estimation of a generalized regression function with functional dependent data
- Further research on limit theorems for self-normalized sums
- Asymptotic results of semi-functional partial linear regression estimate under functional spatial dependency
- Change-point detection and bootstrap for Hilbert space valued random fields
- Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
- Jackknife empirical likelihood of error variance in partially linear varying-coefficient errors-in-variables models
- Estimation of the limit variance for sums under a new weak dependence condition
- Wavelet estimation in time-varying coefficient time series models with measurement errors
- Wavelet Estimator in Nonparametric Regression Model with Dependent Error’s Structure
- Median-based estimation of the intensity of a spatial point process
- Exponential Inequalities for the Distributions of Canonical Multiple Partial Sum Processes
- Some preliminary results on conditionally -mixing sequences of random variables
- Semiparametric trending panel data models with cross-sectional dependence
- Introduction to strong mixing conditions. Vol. 1.
- Terminal-Dependent Statistical Inferences for FBSDE
- THE LIMIT THEOREMS UNDER LOGARITHMIC AVERAGES FOR MIXING RANDOM VARIABLES
- Robust estimation of AR coefficients under simultaneously influencing outliers and missing values
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