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Results tagged with stochastic-processes
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user 42531
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
2
votes
0
answers
142
views
Bounds on moving average process
Let $X_1,X_2,\dotsc$ be a sequence of i.i.d. random variables and define the average process $\{Y_t\}$ as
$$
Y_t = \sum_{i=1}^p a_k X_{t-i}
$$
with some constants $a_1,\cdots,a_p \in \mathbb{R}$. This …
- 619
5
votes
1
answer
647
views
Proof of Pinelis (1992) - Banach space inequalities
I am reading Pinelis "An approach to inequalities for the distributions of infinite -dimensional martingales" and cannot follow his proof of Theorem 3:
Let $(f_n)$ be a martingale in a separable Bana …
- 619