Limiting behaviour of moving average processes under φ-mixing assumption

被引：43

作者：

Chen, Pingyan ^{[2
]}

Hu, Tien-Chung ^{[1
]}

Volodin, Andrei ^{[3
]}

机构：

[1] Natl Tsing Hua Univ, Dept Math, Hsinchu 300, Taiwan

[2] Jinan Univ, Dept Math, Guangzhou 510630, Guangdong, Peoples R China

[3] Univ Regina, Dept Math & Stat, Regina, SK S4S 0A2, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 01期

基金：

中国国家自然科学基金;

关键词：

COMPLETE CONVERGENCE;

D O I：

10.1016/j.spl.2008.07.026

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let {Y-i, -infinity < i < infinity} be a doubly infinite sequence of identically distributed phi-mixing random variables, {a(i), -infinity < i < infinity} be an absolutely summable sequence of real numbers. In this paper we prove the complete convergence and Marcinkiewicz-Zygmund strong law of large numbers for the partial sums of moving average processes {X-n = Sigma(infinity)(i=-infinity)a(i)y(i+n), n >= 1} based on the sequence {Y-i, -infinity < i < infinity} of phi-mixing random variables, improving the result of [Zhang, L, 1996. Complete convergence of moving average processes under dependence assumptions. Statist. Probab. Lett. 30, 165-170]. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：105 / 111

页数：7

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