Limiting behaviour of moving average processes under negative association assumption

Authors:
P. Chen, T.-C. Hu and A. Volodin

Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom **77** (2007).

Journal:
Theor. Probability and Math. Statist. **77** (2008), 165-176

MSC (2000):
Primary 60F15

DOI:
https://doi.org/10.1090/S0094-9000-09-00755-8

Published electronically:
January 21, 2009

MathSciNet review:
2432780

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Abstract | References | Similar Articles | Additional Information

Abstract: Let be a doubly infinite sequence of identically distributed negatively associated random variables, and an absolutely summable sequence of real numbers. In this paper, we prove the complete convergence and complete moment convergence of the maximum partial sums of moving average processes . We improve the results of Baek *et al.* (2003) and Li and Zhang (2005).

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Additional Information

**P. Chen**

Affiliation:
Department of Mathematics, Jinan University, Guangzhou, 510630, People’s Republic of China

Email:
chenpingyan@yahoo.com.cn

**T.-C. Hu**

Affiliation:
Department of Mathematics, National Tsing Hua University Hsinchu 300, Taiwan, Republic of China

Email:
tchu@math.nthu.edu.tw

**A. Volodin**

Affiliation:
Department of Mathematics and Statistics, University of Regina, Regina, Saskatchewan, S4S0A2, Canada

Email:
andrei@math.uregina.ca

DOI:
https://doi.org/10.1090/S0094-9000-09-00755-8

Keywords:
Complete convergence,
complete moment convergence,
moving average,
negative association

Received by editor(s):
August 18, 2006

Published electronically:
January 21, 2009

Additional Notes:
The research of P. Chen was supported by the National Natural Science Foundation of China

The research of T.-C. Hu was partially supported by the National Science Council

The research of A. Volodin was partially supported by the National Sciences and Engineering Research Council of Canada

Article copyright:
© Copyright 2009
American Mathematical Society