A pairwise independent stationary stochastic process

James B. Robertson and James M. Womack

Statistics & Probability Letters, 1985, vol. 3, issue 4, 195-199

Abstract: The purpose of this paper is to study pairwise independence in the context of strictly stationary stochastic processes {X[pi], N = 0, ±1, ...}. Our main result is an example of such a process that maximizes E(X1X2X3). We also show that subject to some additional independence assumptions any two of these processes are distributionally the same. The spectral properties of this process are then analysed.

Keywords: pairwise; independence; strictly; stationary; stochastic; process; ergodic; weakly; mixing (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (3)

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