Complete moment convergence of moving average processes for m-WOD sequence
Keyword(s):
AbstractIn this paper, the complete moment convergence for the partial sum of moving average processes $\{X_{n}=\sum_{i=-\infty }^{\infty }a_{i}Y_{i+n},n\geq 1\}$ { X n = ∑ i = − ∞ ∞ a i Y i + n , n ≥ 1 } is established under some mild conditions, where $\{Y_{i},-\infty < i<\infty \}$ { Y i , − ∞ < i < ∞ } is a sequence of m-widely orthant dependent (m-WOD, for short) random variables which is stochastically dominated by a random variable Y, and $\{a_{i},-\infty < i<\infty \}$ { a i , − ∞ < i < ∞ } is an absolutely summable sequence of real numbers. These conclusions promote and improve the corresponding results from m-extended negatively dependent (m-END, for short) sequences to m-WOD sequences.
2012 ◽
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pp. 10903-10913
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Complete Moment Convergence of Moving Average Processes Generated by Negatively Associated Sequences
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