A pairwise independent stationary stochastic process
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.
Year of publication: |
1985
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Authors: | Robertson, James B. ; Womack, James M. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 3.1985, 4, p. 195-199
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Publisher: |
Elsevier |
Keywords: | pairwise independence strictly stationary stochastic process ergodic weakly mixing |
Saved in:
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