| STRONG APPROXIMATION FOR MOVING AVERAGE PROCESSES UNDER DEPENDENCE ASSUMPTIONS |
| |
| 作者姓名： | 林正炎 李德柜 |
| |
| 作者单位： | Department of Mathematics, Zhejiang University, Hangzhou 310027, China |
| |
| 基金项目： | Supported by NSFC （10571159） and SRFDP （20060335032） |
| |
| 摘 要： | Let {Xt,t ≥ 1} be a moving average process defined by Xt = ∑^∞ k=0 αkξt-k, where {αk,k ≥ 0} is a sequence of real numbers and {ξt,-∞ 〈 t 〈 ∞} is a doubly infinite sequence of strictly stationary dependent random variables. Under the conditions of {αk, k ≥ 0} which entail that {Xt, t ≥ 1} is either a long memory process or a linear process, the strong approximation of {Xt, t ≥ 1} to a Gaussian process is studied. Finally, the results are applied to obtain the strong approximation of a long memory process to a fractional Brownian motion and the laws of the iterated logarithm for moving average processes.
|
| 关 键 词： | 线性过程 近似值 对数 数学 |
| 收稿时间： | 2006-01-25 |
Strong Approximation for Moving Average Processes Under Dependence Assumptions |
| |
| Lin Zhengyan,Li Degui,.STRONG APPROXIMATION FOR MOVING AVERAGE PROCESSES UNDER DEPENDENCE ASSUMPTIONS[J].Acta Mathematica Scientia,2008,28(1):217-224. |
| |
| Authors: | Lin Zhengyan Li Degui |
| |
| Institution: | aDepartment of Mathematics, Zhejiang University, Hangzhou 310027, China |
| |
| Abstract: | Strong approximation, long memory process, linear process, fractional Brownian motion, the law of the iterated logarithm |
| |
| Keywords: | Strong approximation long memory process linear process fractional Brownian motion the law of the iterated logarithm |
| 本文献已被 维普 万方数据 ScienceDirect 等数据库收录！ |
|
