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Precise asymptotics of complete moment convergence on moving average
Authors:Zheng Yan Lin  Hui Zhou
Affiliation:1. Department of Mathematics, Zhejiang University, Hangzhou, 310027, P. R. China
Abstract:Let {ξ i ,?∞ < i < ∞} be a doubly infinite sequence of identically distributed φ-mixing random variables with zero means and finite variances, {a i ,?∞ < i < ∞} be an absolutely summable sequence of real numbers and $X_k = sumnolimits_{i = - infty }^{ + infty } {a_i xi _{i + k} }$ be a moving average process. Under some proper moment conditions, the precise asymptotics are established for $$mathop {lim }limits_{varepsilon searrow 0} frac{1} {{ - log varepsilon }}sumlimits_{n = 1}^infty {frac{1} {{n^2 }}ES_n^2 Ileft{ {left| {S_n } right| geqslant nvarepsilon } right} = 2EZ^2 .}$$ where ZN (0, τ 2), τ 2 = σ 2 n=?∞ a i )2 and $$mathop {lim }limits_{varepsilon searrow 0} varepsilon ^{2delta } sumlimits_{n = 2}^infty {frac{{(log n)^{delta - 1} }} {{n^2 }}ES_n^2 Ileft{ {left| {S_n } right| geqslant sqrt {nlog nvarepsilon } } right} = frac{{tau ^{2delta + 2} }} {delta }Eleft| N right|^{2delta + 2} .}$$
Keywords:Moving-average process   φ-mixing sequence   complete convergence   precise asymptotics
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