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Precise asymptotics in complete moment convergence of moving-average processes

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  • Yun-Xia, Li

Abstract

In this paper, we discuss moving-average process , where {[var epsilon]i;-[infinity] 1+p/2, then where Z has a normal distribution with mean 0 and variance .

Suggested Citation

  • Yun-Xia, Li, 2006. "Precise asymptotics in complete moment convergence of moving-average processes," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1305-1315, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:13:p:1305-1315
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    References listed on IDEAS

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    1. Li, Deli & Bhaskara Rao, M. & Wang, Xiangchen, 1992. "Complete convergence of moving average processes," Statistics & Probability Letters, Elsevier, vol. 14(2), pages 111-114, May.
    2. Zhang, Li-Xin, 1996. "Complete convergence of moving average processes under dependence assumptions," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 165-170, October.
    3. Burton, Robert M. & Dehling, Herold, 1990. "Large deviations for some weakly dependent random processes," Statistics & Probability Letters, Elsevier, vol. 9(5), pages 397-401, May.
    4. Chen, Robert, 1978. "A remark on the tail probability of a distribution," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 328-333, June.
    5. Hall, Peter, 1992. "Convergence rates in the central limit theorem for means of autoregressive and moving average sequences," Stochastic Processes and their Applications, Elsevier, vol. 43(1), pages 115-131, November.
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