Abstract
We establish Nagaev and Rosenthal-type inequalities for dependent random variables. The imposed dependence conditions, which are expressed in terms of functional dependence measures, are directly related to the physical mechanisms of the underlying processes and are easy to work with. Our results are applied to nonlinear time series and kernel density estimates of linear processes.
Original language | English (US) |
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Pages (from-to) | 1257-1272 |
Number of pages | 16 |
Journal | Statistica Sinica |
Volume | 23 |
Issue number | 3 |
DOIs | |
State | Published - Jul 2013 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
Keywords
- M-dependence approximation
- Nagaev inequality
- Non-stationary process
- Nonlinear process
- Physical dependence measure
- Rosenthal inequality