Variance of partial sums of stationary sequences

DOI10.1214/12-AOP772MaRDI QIDQ378818zbMATH OpenOpenAlexFDO

Authors George Deligiannidis, Sergey Utev

Publication date 12 November 2013

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.4172, https://projecteuclid.org/euclid.aop/1378991850

zbMATH Keywords

Fourier analysislong-range dependencestationary sequencestempered distributions

Mathematics Subject Classification ID

Summability and absolute summability of Fourier and trigonometric series (42A24) Stationary stochastic processes (60G10)

Abstract: Let $X_1,X_2,ldots$ be a centred sequence of weakly stationary random variables with spectral measure $F$ and partial sums $S_n=X_1+cdots+X_n$. We show that $operatornamevar(S_n)$ is regularly varying of index $gamma$ at infinity, if and only if $G(x):=in{t}_{-x}^{x}F(mathrmdx)$ is regularly varying of index $2-gamma$ at the origin ($0<gamma<2$).

Review text

The authors give necessary and sufficient conditions for the variance of partial sums of centered sequences of weakly stationary random variables to be regularly varying of index \(\gamma\) at infinity. The authors derive lower and upper bounds for the variance of partial sums and use them to prove the main result of this paper.

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Cited in

(6)

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• Moment bounds for non-stationary dependent sequences
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• New robust confidence intervals for the mean under dependence
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