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Lacunary systems and generalized linear processes

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  • Lai, Tze Leung
  • Wei, Ching Zong

Abstract

Herein we obtain several almost sure and Lp convergence properties of generalized linear processes. When the generalized linear process is generated by an orthonormal Sp system (which includes the classical i.i.d. white noise, Lp bounded martingale difference sequences and weakly multiplicative sequences as special cases), it is shown that these convergence properties are related to certain second order properties of the process.

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  • Lai, Tze Leung & Wei, Ching Zong, 1983. "Lacunary systems and generalized linear processes," Stochastic Processes and their Applications, Elsevier, vol. 14(2), pages 187-199, February.
    • Handle: RePEc:eee:spapps:v:14:y:1983:i:2:p:187-199
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    Cited by:

    1. Datta, Somnath & Sriram, T. N., 1995. "A modified bootstrap for branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 275-294, April.

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