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Processes with Block-Associated Increments

Published online by Cambridge University Press:  14 July 2016

Adam Jakubowski*
Affiliation:
Nicolaus Copernicus University
Joanna Karłowska-Pik*
Affiliation:
Nicolaus Copernicus University
*
Postal address: Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland.
Postal address: Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland.
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Abstract

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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.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2011 

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