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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 2, Pages 374–381
(Mi tvp1178)
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This article is cited in 2 scientific papers (total in 2 papers)
Short Communications
On a criterion of weak dependence
B. S. Nahapetiyan Yerevan
Abstract:
Let $\xi_t$, $t\in Z^1$, be a stationary real-valued random process and let $\mathfrak{M}_a^b$, $-\infty\le a<b\le\infty$, be the $\sigma$-algebra generated by the random variables $\xi_t$, $a\le t\le b$. We say that
the process $\xi_t$, $t\in Z^1$, satisfies the $\beta$-mixing condition if for any $A\in\mathfrak{M}_{-\infty}^+$,
$B\in\mathbf W\mathfrak{M}_{t+\tau}^\infty$, $\tau>0$, $\tau\in Z^1$,
\begin{equation}
|\mathbf P(AB)-\mathbf P(A)\mathbf P(B)|\le\beta(\tau)\mathbf P(A)\mathbf P(B),\qquad\beta(\tau)\to 0,\tau\to\infty.
\end{equation}
It is shown that the Gibbs random process under some conditions on the potential satisfies
the criterion (1). The main result of the paper is the following
\smallskip
Theorem. If the process $\xi_t$, $t\in Z^1$, satisfies the condition (1), $\sigma_n^2=\mathbf D(\xi_0+\xi_1+\dots+\xi_n)\ge C_n$,
$0<C<\infty$, and $\mathbf M\xi_0^2<\infty$, then
$$
\lim_{n\to\infty}\mathbf P\left\{\frac{1}{\sigma_n}\sum_{t=m}^{n+m}(\xi_t-\mathbf M\xi_t)<\alpha\right\}=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^\alpha e^{-t^2/2}\,dt,\qquad m\in Z^1.
$$
Received: 20.03.1978
Citation:
B. S. Nahapetiyan, “On a criterion of weak dependence”, Teor. Veroyatnost. i Primenen., 25:2 (1980), 374–381; Theory Probab. Appl., 25:2 (1981), 370–377
Linking options:
https://www.mathnet.ru/eng/tvp1178 https://www.mathnet.ru/eng/tvp/v25/i2/p374
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