Convergence rates in the complete moment of moving-average processes
Keyword(s):
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., $$\sum\limits_{i = - \infty }^\infty {\left| {a_i } \right| < \infty }$$.
2006 ◽
Vol 76
(13)
◽
pp. 1305-1315
◽
Keyword(s):
2010 ◽
Vol 47
(3)
◽
pp. 585-592
Keyword(s):
2016 ◽
Vol 46
(22)
◽
pp. 10903-10913