Maximal and moment inequalities for demimartingales and N-demimartingales

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.

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Year of publication:	2012
Authors:	Christofides, Tasos C. ; Hadjikyriakou, Milto
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 683-691
Publisher:	Elsevier
Subject:	Demimartingales \| Upcrossing inequality \| Downcrossing inequality \| Maximal inequality \| Moment inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571792