Complete convergence of moving average processes (Q1198995)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Complete convergence of moving average processes
scientific article

    Statements

    Complete convergence of moving average processes (English)
    0 references
    0 references
    0 references
    0 references
    16 January 1993
    0 references
    \([Y_ i\); \(-\infty<i<\infty]\) is a doubly infinite sequence of i.i.d. random variables; \([a_ i\); \(-\infty<i<\infty]\) is an absolutely summable sequence of real numbers, and \(X_ k\) is defined as \(\sum_{i=-\infty}^ \infty a_{i+k}Y_ i\), for \(k\geq 1\). Suppose \(r\), \(t\) are values satisfying \(1\leq t<2\) and \(r>1\). Then it is shown that \(E(Y_ 1)=0\) and \(E| Y_ 1|^{rt}<\infty\) imply \[ \sum_{n\geq 1}n^{r-2}P\left[\left|\sum_{k=1}^ n X_ k\right|>\varepsilon n^{1/t}\right]<\infty\qquad\text{for all }\varepsilon>0. \]
    0 references
    0 references
    0 references
    complete convergence
    0 references
    moving average processes
    0 references
    doubly infinite sequence of i.i.d. random variables
    0 references
    0 references