Limiting behaviour of moving average processes under negative association assumption
نویسندگان
چکیده
منابع مشابه
Complete convergence of moving-average processes under negative dependence sub-Gaussian assumptions
The complete convergence is investigated for moving-average processes of doubly infinite sequence of negative dependence sub-gaussian random variables with zero means, finite variances and absolutely summable coefficients. As a corollary, the rate of complete convergence is obtained under some suitable conditions on the coefficients.
متن کاملcomplete convergence of moving-average processes under negative dependence sub-gaussian assumptions
the complete convergence is investigated for moving-average processes of doubly infinite sequence of negative dependence sub-gaussian random variables with zero means, finite variances and absolutely summable coefficients. as a corollary, the rate of complete convergence is obtained under some suitable conditions on the coefficients.
متن کاملcomplete convergence of moving-average processes under negative dependence sub-gaussian assumptions
the complete convergence is investigated for moving-average processes of doubly infinite sequence of negative dependence sub-gaussian random variables with zero means, finite variances and absolutely summable coefficients. as a corollary, the rate of complete convergence is obtained under some suitable conditions on the coefficients.
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The sample autocorrelation function (acf) of a stationary process has played a central statistical role in traditional time series analysis, where the assumption is made that the marginal distribution has a second moment. Now, the classical methods based on acf are not applicable in heavy tailed modeling. Using the codifference function as dependence measure for such processes be shown it be as...
متن کاملComplete convergence of moving average processes under dependence assumptions 1
Let {Yi;-oc < i < c~} be a doubly infinite sequence of identically distributed and (b-mixing random variables, (ai; ~ < i < oc} an absolutely summable sequence of real numbers. In this paper, we prove the complete convergence of {Ek=xn ~io~=_¢xz ai+kYi/nt/,; n>~ 1} under some suitable conditions. AMS classification: 60G50; 60F15
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ژورنال
عنوان ژورنال: Theory of Probability and Mathematical Statistics
سال: 2008
ISSN: 0094-9000,1547-7363
DOI: 10.1090/s0094-9000-09-00755-8