Convergence rates in the complete moment of moving-average processes

2012 ◽  
Vol 62 (5) ◽  
Author(s):  
Qing-pei Zang

AbstractIn this paper, we discuss precise asymptotics for a new kind of moment convergence of the moving-average process $$X_k = \sum\limits_{i = - \infty }^\infty {a_{i + k} \varepsilon _i }$$, k ≥1, where {ε i: −∞ < i < ∞} is a doubly infinite sequence of independent identically distributed random variables with mean zero and the finiteness of variance, {α i: −∞ < i < ∞} is an absolutely summable sequence of real numbers, i.e., $$\sum\limits_{i = - \infty }^\infty {\left| {a_i } \right| < \infty }$$.

2011 ◽  
Vol 61 (6) ◽  
Author(s):  
Xing-Cai Zhou ◽  
Jin-Guan Lin

AbstractLet {Y i: −∞ < i < ∞} be a doubly infinite sequence of identically distributed ρ-mixing random variables, and {a i: −∞ < i < ∞} an absolutely summable sequence of real numbers. In this paper we prove the complete moment convergence for the partial sums of moving average processes $\{ X_n = \sum\limits_{i = - \infty }^\infty {a_i Y_{i + n,} n \geqslant 1} \} $ based on the sequence {Y i: −∞ < i < ∞} of ρ-mixing random variables under some suitable conditions.


2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Lihong Guan ◽  
Yushan Xiao ◽  
Yanan Zhao

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.


1989 ◽  
Vol 19 (S1) ◽  
pp. 43-50 ◽  
Author(s):  
Jan Dhaene

AbstractA practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.


1989 ◽  
Vol 19 (2) ◽  
pp. 131-138 ◽  
Author(s):  
Jan Dhaene

AbstractA practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.


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