Abstract
This paper presents maximal inequalities and strong law of large numbers for weakly dependent heterogeneous random variables. Specifically considered are L r mixingales for r > 1, strong mixing sequences, and near epoch dependent (NED) sequences. We provide the first strong law for L r -bounded L r mixingales and NED sequences for 1 > r > 2. The strong laws presented for α-mixing sequences are less restrictive than the laws of McLeish [8].
Keywords
MathematicsMixing (physics)Bounded functionLaw of large numbersLawPure mathematicsRandom variableMathematical analysisStatisticsPolitical sciencePhysics
Affiliated Institutions
Related Publications
Time Series Regression with a Unit Root
This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least ...
Fractional Brownian Motions, Fractional Noises and Applications
Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nessht...
Elements of Information Theory
Preface to the Second Edition. Preface to the First Edition. Acknowledgments for the Second Edition. Acknowledgments for the First Edition. 1. Introduction and Preview. 1.1 Prev...
Optimal Statistical Decisions.
Foreword.Preface.PART ONE. SURVEY OF PROBABILITY THEORY.Chapter 1. Introduction.Chapter 2. Experiments, Sample Spaces, and Probability.2.1 Experiments and Sample Spaces.2.2 Set ...
Finite-Mixture Structural Equation Models for Response-Based Segmentation and Unobserved Heterogeneity
Two endemic problems face researchers in the social sciences (e.g., Marketing, Economics, Psychology, and Finance): unobserved heterogeneity and measurement error in data. Struc...
Publication Info
- Year
- 1991
- Type
- article
- Volume
- 7
- Issue
- 2
- Pages
- 213-221
- Citations
- 118
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
118
OpenAlex
Cite This
Bruce E. Hansen
(1991).
Strong Laws for Dependent Heterogeneous Processes.
Econometric Theory
, 7
(2)
, 213-221.
https://doi.org/10.1017/s0266466600004412
Identifiers
- DOI
- 10.1017/s0266466600004412