James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI:

Series: Advanced Texts in Econometrics


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A number of probabilistic approaches to the concept of dependence in stochastic sequences are contrasted. The fundamental idea is a shift transformation. The notions of stationarity and (serial) independence are defined, with examples. Next, invariant events and the idea of ergodicity enter, and the ergodic theorem is proved. The final sections deal with the notions of regularity and mixing.

Keywords: ergodic theorem; ergodicity; independence; invariant event; mixing; regularity; shift transformation; stationarity; strong mixing; uniform mixing

Chapter.  10318 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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