Marcinkiewicz law of large numbers for outer products of heavy-tailed, long-range dependent data

DOI10.1017/APR.2016.4MaRDI QIDQ5740692zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Samira Sadeghi

Publication date 27 July 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.02415, http://projecteuclid.org/euclid.aap/1465490752

zbMATH Keywords

covarianceheavy tailslong-range dependencestochastic approximationlinear processMarcinkiewicz strong law of large numbers

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Generalized linear models (logistic models) (62J12) Stochastic approximation (62L20) Strong limit theorems (60F15)

Abstract: The Marcinkiewicz Strong Law, $displaystyleli{m}_{noinfty}frac1n^{frac1p}su{m}_{k=1}^n(D_k-D)=0$ a.s. with $pin(1,2)$, is studied for outer products $D_k=X_{k}overline{X}_k^T$, where $X_k,overline{X}_k$ are both two-sided (multivariate) linear processes ( with coefficient matrices $(C_l),(overline{C}_l)$ and i.i.d. zero-mean innovations $Xi$, $overlineXi$). Matrix sequences $C_l$ and $overline{C}_l$ can decay slowly enough (as $|l|oinfty$) that $X_k,overline{X}_k$ have long-range dependence while $D_k$ can have heavy tails. In particular, the heavy-tail and long-range-dependence phenomena for $D_k$ are handled simultaneously and a new decoupling property is proved that shows the convergence rate is determined by the worst of the heavy-tails or the long-range dependence, but not the combination. The main result is applied to obtain Marcinkiewicz Strong Law of Large Numbers for stochastic approximation, non-linear functions forms and autocovariances.

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Cited in

(2)

• Convergence rates and decoupling in linear stochastic approximation algorithms
• On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes

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