Maximal inequalities for demimartingales and a strong law of large numbers

Tasos C. Christofides

Statistics & Probability Letters, 2000, vol. 50, issue 4, 357-363

Abstract: Chow's maximal inequality for (sub)martingales is extended to the case of demi(sub)martingales introduced by Newman and Wright (Z. Wahrsch. Verw. Geb. 59 (1982) 361-371). This result serves as a "source" inequality for other inequalities such as the Hájek-Rényi inequality and Doob's maximal inequality and leads to a strong law of large numbers. The partial sum of mean zero associated random variables is a demimartingale. Therefore, maximal inequalities and a strong law of large numbers are obtained for associated random variables as special cases.

Keywords: Demimartingales; Associated; random; variables (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (9)

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