Some mixing properties of conditionally independent processes

Manel Kacem (1, 2) , Stéphane Loisel (3) , Véronique Maume-Deschamps (4, 5)

1 IHEC Sousse
2 LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance
3 SAF - Laboratoire de Sciences Actuarielle et Financière
4 ICJ - Institut Camille Jordan
5 PSPM - Probabilités, statistique, physique mathématique

In this paper we consider conditionally independent processes with respect to some dynamic factor. We derive some mixing properties for random processes when conditioning is given with respect to unbounded memory of the factor. Our work is motivated by some real examples related to risk theory.

Mots clés: Conditional independence; risk processes; mixing properties

Domaines: Probabilités [math.PR]; Economies et finances

Manel Kacem, Stéphane Loisel, Véronique Maume-Deschamps. Some mixing properties of conditionally independent processes. Communications in Statistics - Theory and Methods, 2016, 45 (5), pp.1241-1259. ⟨hal-00670649⟩