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Maximal and moment inequalities for demimartingales and N-demimartingales

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  • Christofides, Tasos C.
  • Hadjikyriakou, Milto

Abstract

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.

Suggested Citation

  • Christofides, Tasos C. & Hadjikyriakou, Milto, 2012. "Maximal and moment inequalities for demimartingales and N-demimartingales," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 683-691.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:3:p:683-691
    DOI: 10.1016/j.spl.2011.12.009
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    References listed on IDEAS

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    1. Christofides, Tasos C. & Vaggelatou, Eutichia, 2004. "A connection between supermodular ordering and positive/negative association," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 138-151, January.
    2. Bhattacharya, P.K., 2005. "A maximal inequality for nonnegative submartingales," Statistics & Probability Letters, Elsevier, vol. 72(1), pages 11-12, April.
    3. Christofides, Tasos C., 2000. "Maximal inequalities for demimartingales and a strong law of large numbers," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 357-363, December.
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    Cited by:

    1. Wang, Xinghui & Wang, Xuejun, 2013. "Some inequalities for conditional demimartingales and conditional N-demimartingales," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 700-709.

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