Moment inequalities for \(m\)-negatively associated random variables and their applications (Q1685227)
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English | Moment inequalities for \(m\)-negatively associated random variables and their applications |
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Moment inequalities for \(m\)-negatively associated random variables and their applications (English)
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13 December 2017
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The authors study properties of sequences \(\{X_n: n \geq 1\}\) of random variables possessing the property of being \(m\)-negatively associated (\(m\)-NA) for some fixed integer \(m \geq 1\). In particular, they establish inequalities of Marcinkiewicz-Zygmund type and Rosenthal type, respectively, for such sequences. As corollaries, they derive a Khinchin-Kolmogorov type convergence theorem and the three series theorem for \(m\)-NA random variables. Two statistical applications of the main results are considered, namely, large deviation properties of least squares estimators in nonlinear regression models involving \(m\)-NA error terms, and strong consistency of least squares estimators in multiple linear regression, again under the \(m\)-NA assumption regarding the error terms.
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Marcinkiewicz-Zygmund-type inequality
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multiple linear regression models
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nonlinear regression
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Rosenthal-type inequality
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\(m\)-negatively associated random variables
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