On the convergence of the Baum-Katz series for elements of a linear autoregression

DOI10.1007/S10474-021-01157-3MaRDI QIDQ2043741zbMATH OpenOpenAlexFDO

Authors M. Ilienko

Publication date 3 August 2021

Published in Acta Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.05235

zbMATH Keywords

Baum-Katz seriescomplete convergenceHsu-Robbins-Erdős serieslinear autoregression modelSpitzer seriesweighted sum

Mathematics Subject Classification ID

Strong limit theorems (60F15) Sums of independent random variables; random walks (60G50)

Abstract: We study complete convergence and closely related Hsu-Robbins-ErdH{o}s-Spitzer-Baum-Katz series for sums whose terms are elements of linear autoregression sequences. We obtain criterions for convergence of this series expressed in moment assumptions, which for "weakly dependent" sequences are the same as in classical results concerning independent case.

Review text

The author works with the concept of complete convergence and treats three results of Hsu-Robbins-Erdős-Spitzer-Baum-Katz concerning complete convergence of Baum-Katz series. The mentioned results are established for the series based on independent random variables while the author of the present paper focuses on schemes with linear dependence, namely linear autoregression sequences. The aim of the paper is to obtain analogues of Hsu-Robbins-Erdős-Spitzer-Baum-Katz results. Moving in this direction, he obtains criteria for convergence of the corresponding autoregressive series expressed in terms of moment assumptions, which for ``weakly dependent sequences are the same as in classical results concerning the independent case for such sequences.

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Cited in

(3)

• Complete moment convergence for randomly weighted sums of arrays of rowwise \(m_n\)-extended negatively dependent random variables and its applications
• Convergence of Baum-Katz series for sums whose terms are elements of a linear \(m\)th order autoregressive sequence
• On the convergence of Baum-Katz series for sums of linear 2-nd order autoregressive sequences

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