Limiting behaviour of moving average processes under negative association assumption
Authors:
P. Chen, T.-C. Hu and A. Volodin
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
Full-text PDF Free Access
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Additional Information
Abstract: Let $\{Y_i, -\infty <i<\infty \}$ be a doubly infinite sequence of identically distributed negatively associated random variables, and $\{a_i, -\infty <i<\infty \}$ 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 $\bigl \{\sum ^\infty _{i=-\infty } a_i Y_{i+n}, n\geq 1\bigr \}$. We improve the results of Baek et al. (2003) and Li and Zhang (2005).
References
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References
- S. E. Ahmed, R. Giuliano Antonini, and A. Volodin, On the rate of complete convergence for weighted sums of arrays of Banach space valued random elements with application to moving average processes, Statist. Probab. Lett. 58 (2002), 185β194. MR 1914917 (2003d:60008)
- J.-Il. Baek, T. S. Kim, and H. Y. Liang, On the complete convergence of moving average processes under dependent conditions, Aust. N. Z. J. Statis. 45 (2003), 331β342. MR 1999515 (2004f:62164)
- R. M. Burton and H. Dehling, Large deviations for some weakly dependent random processes, Statist. Probab. Lett. 9 (1990), 397β401. MR 1060081 (91f:60056)
- P. Chen, Complete moment convergence for sequence of independent random elements in Banach spaces, Stoch. Anal. Appl. 24 (2006), 999β1010. MR 2258913 (2007k:60017)
- P. Chen, T.-C. Hu, and A. Volodin, A note on the rate of complete convergence for maximums of partial sums for moving average processes in Rademacher type Banach spaces, Lobachevskii J. Math. 21 (2006), 45β55 (electronic). MR 2220699 (2007b:60070)
- P. Chen, S. H. Sung, and A. Volodin, Rate of complete convergence for arrays of B-valued random elements, Siberian Adv. Math. (2006) (to appear). MR 2279365 (2008b:60005)
- Y. S. Chow, On the rate of moment complete convergence of sample sums and extremes, Bull. Inst. Math. Acad. Sinica 16 (1988), 177β201. MR 1089491 (91m:60063)
- P. ErdΓΆs, On a theorem of Hsu and Robbins, Ann. Math. Statist. 20 (1949), 286β291. MR 0030714 (11:40f)
- P. L. Hsu and H. Robbins, Complete convergence and the law of large numbers, Proc. Nat. Acad. Sci. U.S.A. 33 (1947), 25β31. MR 0019852 (8:470e)
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Additional Information
P. Chen
Affiliation:
Department of Mathematics, Jinan University, Guangzhou, 510630, Peopleβs 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
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