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Cambridge University Press, Journal of Applied Probability, 2(48), p. 514-526, 2011

DOI: 10.1239/jap/1308662641

Cambridge University Press, Journal of Applied Probability, 02(48), p. 514-526

DOI: 10.1017/s0021900200008019

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Processes with block-associated increments

Journal article published in 2011 by Adam Jakubowski, Joanna Karłowska-Pik ORCID
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

This paper is motivated by relations between association and independence of random variables. It is well known that, for real random variables, independence implies association in the sense of Esary, Proschan and Walkup (1967), while, for random vectors, this simple relationship breaks. We modify the notion of association in such a way that any vector-valued process with independent increments also has associated increments in the new sense - association between blocks. The new notion is quite natural and admits nice characterization for some classes of processes. In particular, using the covariance interpolation formula due to Houdré, Pérez-Abreu and Surgailis (1998), we show that within the class of multidimensional Gaussian processes, block association of increments is equivalent to supermodularity (in time) of the covariance functions. We also define corresponding versions of weak association, positive association, and negative association. It turns out that the central limit theorem for weakly associated random vectors due to Burton, Dabrowski and Dehling (1986) remains valid, if the weak association is relaxed to the weak association between blocks.