Limiting behaviour of moving average processes genenrated by negatively dependent random variables under sub-linear expectations

Authors: Ming Zhou Xu, Kun Cheng, Wangke Yu

Publication date: 24 July 2022

Abstract: Let

Y_{i}, - i n f t y < i < i n f t y

be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations,

a_{i}, - i n f t y < i < i n f t y

be an absolutely summable sequence of real numbers. In this article, we study complete convergence and Marcinkiewicz-Zygmund strog law of large numbers for the partial sums of moving average processes

X_{n} = s u m_{i = - i n f t y}^{i n f t y} a_{i} Y_{i + n}, n g e 1

based on the sequence

Y_{i}, - i n f t y < i < i n f t y

of identically distributed, negatively dependent random variables under sub-linear expectations, complementing the result of [Chen, et al., 2009. Limiting behaviour of moving average processes under

v a r p h i

-mixing assumption. Statist. Probab. Lett. 79, 105-111].

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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