On the dissipation of partial sums from a stationary strongly mixing sequence

DOI10.1016/0304-4149(94)00016-6MaRDI QIDQ1344952zbMATH OpenOpenAlexFDO

Authors Richard C. Bradley

Publication date 30 June 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00016-6

zbMATH Keywords

distribution of partial sumsmaximal correlation coefficientshift-tightstrongly mixing sequences

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Review text

The author investigates the distribution of partial sums \(S_ n = \sum^ n_{k = 1} X_ k\) of strictly stationary random variables. For strongly mixing sequences the following dichotomy is established: The sequence \((S_ n)^ \infty_{n = 1}\) is either (i) shift-tight, i.e. \(S_ n' = S_ n - \text{median}(S_ n)\) is tight, or (ii) completely dissipated, i.e. \(\lim_{n \to \infty} \sup_{a \in \mathbb{R}} P(S_ n \in [a,a + C]) = 0\) for all \(C > 0\). In a second theorem the author proves that for strongly mixing sequences whose maximal correlation coefficient is strictly less than 1, only (ii) can hold.

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Cites work

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Cited in

(3)

• On the simultaneous behavior of the dependence coefficients associated with three mixing conditions
• On tightness of partial sums from strictly stationary, absolutely regular sequences of B-valued random variables
• Tightness bounds for strongly mixing random sequences

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