Weakly dependent chains with infinite memory
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Publication:952736
DOI10.1016/J.SPA.2007.12.004zbMATH Open1166.60031arXiv0712.3231OpenAlexW2041809584MaRDI QIDQ952736FDOQ952736
Authors: Paul Doukhan, Olivier Wintenberger 
Publication date: 14 November 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We prove the existence of a weakly dependent strictly stationary solution of the equation called {em chain with infinite memory}. Here the {em innovations} constitute an independent and identically distributed sequence of random variables. The function takes values in some Banach space and satisfies a Lipschitz-type condition. We also study the interplay between the existence of moments and the rate of decay of the Lipschitz coefficients of the function . With the help of the weak dependence properties, we derive Strong Laws of Large Number, a Central Limit Theorem and a Strong Invariance Principle.
Full work available at URL: https://arxiv.org/abs/0712.3231
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Functional limit theorems; invariance principles (60F17) Economic growth models (91B62) Stochastic processes (60G99)
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