Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7548818 | Statistics & Probability Letters | 2018 | 12 Pages |
Abstract
We give a new large deviation inequality for sums of random variables of the form Zk=f(Xk,Xt) for k,tâN, t fixed, where the underlying process X is β-mixing. The inequality can be used to derive concentration inequalities. We demonstrate its usefulness in the functional kernel regression model of Ferraty et al. (2007) where we study the consistency of dynamic forecasts.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Johannes T.N. Krebs,