Some mixing properties of conditionally independent processes

Manel Kacem (), Stéphane Loisel and Véronique Maume-Deschamps ()
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Manel Kacem: IHEC Sousse - IHEC, LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance - Institut des Hautes Etudes Commerciales (Université de Sousse)
Véronique Maume-Deschamps: ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique, PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we consider conditionally independent processes with respect to some dynamic factor. We derive some mixing properties for random processes when conditioning is given with respect to unbounded memory of the factor. Our work is motivated by some real examples related to risk theory.

Keywords: Conditional independence; risk processes; mixing properties (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00670649v1
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Published in Communications in Statistics - Theory and Methods, 2016, 45 (5), pp.1241-1259

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00670649

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