Conditional limit theorems for conditionally negatively associated random variables

Abstract

From the ordinary notion of negative association for a sequence of random variables, a new concept called conditional negative association is introduced. The relation between negative association and conditional negative association is answered, that is, the negative association does not imply the conditional negative association, and vice versa. The basic properties of conditional negative association are developed, which extend the corresponding ones under the non-conditioning setup. By means of these properties, some Rosenthal type inequalities for maximum partial sums of such sequences of random variables are derived, which extend the corresponding results for negatively associated random variables. As applications of these inequalities, some conditional mean convergence theorems, conditionally complete convergence results and a conditional central limit theorem stated in terms of conditional characteristic functions are established. In addition, some lemmas in the context are of independent interest.