Maximal and moment inequalities for demimartingales and N-demimartingales

Tasos C. Christofides and Milto Hadjikyriakou

Statistics & Probability Letters, 2012, vol. 82, issue 3, 683-691

Abstract: Newman and Wright (1982) provide an upcrossing inequality for demimartingales while Prakasa Rao (2011) provides a downcrossing inequality for the class of N-demimartingales. These results are instrumental for obtaining maximal inequalities for demimartingales and N-demimartingales in this paper. Furthermore, by proving an inequality for nonnegative real numbers we provide moment inequalities for the class of demimartingales.

Keywords: Demimartingales; Upcrossing inequality; Downcrossing inequality; Maximal inequality; Moment inequality (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2011.12.009

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