Some mixing properties of conditionally independent processes

Manel Kacem, Stéphane Loisel and Véronique Maume-Deschamps

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 5, 1241-1259

Abstract: In this paper, we consider conditionally independent processes with respect to some dynamic factor. More precisely, we assume that for all n, random variables (Xi)i ⩽ n are conditionally independent given V_n=(V1,...,Vn)$\underline{V}_{n}=(V_1, \ldots , V_n)$. We study the mixing properties of the process (Xi)i∈N$(X_i)_{ i \in \mathbb {N}}$ and we provide an asymptotic result. Our work is motivated by some examples related to risk theory.

Date: 2016
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Working Paper: Some mixing properties of conditionally independent processes (2016)
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DOI: 10.1080/03610926.2013.851235

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