Some mixing properties of conditionally independent processes

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.

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Year of publication:	2012-02-15
Authors:	Kacem, Manel ; Loisel, Stéphane ; Maume-Deschamps, Véronique
Institutions:	HAL
Subject:	Conditional independence \| risk processes \| mixing properties

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00670649
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009647505