Weakly dependent chains with infinite memory
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Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic processes (60G99) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62)
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.
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.
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Cited in
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- Time series models on compact spaces, with an application to dynamic modeling of relative abundance data in ecology
- Time-varying dispersion integer-valued GARCH models
- Weak dependence, models and some applications
- Bahadur representations of M-estimators and their applications in general linear models
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
- Oscillations and moduli of continuity of kernel density estimators under dependence
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