Weak law of large numbers for linear processes

DOI10.1007/S10474-016-0603-4MaRDI QIDQ1701324zbMATH OpenOpenAlexFDO

Authors Alfredas Račkauskas, Vaidotas Characiejus

Publication date 22 February 2018

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

Full work available at URL https://arxiv.org/abs/1602.00461

zbMATH Keywords

long-range dependenceinfinite varianceshort-range dependencelinear processweak law of large numbersMarcinkiewicz-Zygmund

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stochastic processes (60G99)

Abstract: We establish sufficient conditions for the Marcinkiewicz-Zygmund type weak law of large numbers for a linear process $X_k:kinmathbbZ$ defined by $X_k=su{m}_{j=0}^{i}nftyps{i}_{j}varepsilo{n}_{k-j}$ for $kinmathbbZ$, where $ps{i}_j:jinmathbbZsubsetmathbbR$ and $varepsilo{n}_k:kinmathbbZ$ are independent and identically distributed random variables such that $x^{p}Pr|varepsilo{n}_0|>xo0$ as $xoinfty$ with $1<p<2$ and $operatornameEvarepsilo{n}_0=0$. We use an abstract norming sequence that does not grow faster than $n^{1/p}$ if $sum|ps{i}_j|<infty$. If $sum|ps{i}_j|=infty$, the abstract norming sequence might grow faster than $n^{1/p}$ as we illustrate with an example. Also, we investigate the rate of convergence in the Marcinkiewicz-Zygmund type weak law of large numbers for the linear process.

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Cited in

(6)

• Lai law for linear processes with long memory
• Convergence rates in the law of large numbers for END linear processes with random coefficients
• Marcinkiewicz law of large numbers for outer products of heavy-tailed, long-range dependent data
• Convergence of asymptotically almost negatively associated random variables with random coefficients
• Convergence of asymptotically negatively associated random variables with random coefficients
• Convergence rates in the law of large numbers for long-range dependent linear processes

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