Near-epoch dependence in Riesz spaces

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:467

Article

Kuo, Wen-Chi¹  Rogans, Michael J.²  Watson, Bruce A.¹ 

[1] Univ Witwatersrand, Sch Math, Private Bag 3,PO WITS, ZA-2050 Johannesburg, South Africa

[2] Univ Witwatersrand, Sch Stat & Actuarial Sci, Private Bag 3,PO WITS, ZA-2050 Johannesburg, South Africa

关键词: Vector lattices;    Riesz space;    Conditional expectation operators;    Mixing processes;    Mixingales;    Near-epoch dependence;   

DOI  :  10.1016/j.jmaa.2018.07.019

来源: Elsevier

【 摘 要 】

The abstraction of the study of stochastic processes to Banach lattices and vector lattices has received much attention by Grobler, Kuo, Labuschagne, Stoica, Troitsky and Watson over the past fifteen years. By contrast mixing processes have received very little attention. In particular mixingales were generalized to the Riesz space setting in Kuo et al. (2013) [12]. The concepts of strong and uniform mixing as well as related mixing inequalities were extended to this setting in Kuo et al. (2017) [11]. In the present work we formulate the concept of near-epoch dependence for Riesz space processes and show that if a process is near-epoch dependent and either strong or uniform mixing then the process is a mixingale, giving access to a law of large numbers. The above is applied to autoregressive processes of order 1 in Riesz spaces. (C) 2018 Elsevier Inc. All rights reserved.

【 授权许可】

Free