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A Fourth Moment Inequality for Functionals of Stationary Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper, a fourth moment bound for partial sums of functionals of strongly ergodic Markov chains is established. This type of inequality plays an important role in the study of the empirical process invariance principle. This inequality is specially adapted to the technique of Dehling, Durieu, and Volný (2008). The same moment bound can be proved for dynamical systems whose transfer operator has some spectral properties. Examples of applications are given.
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- Copyright © Applied Probability Trust 2008
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