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Chover-type laws of the iterated logarithm for weighted sums of ρ ∗ -mixing sequences

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  • Guang-hui Cai

Abstract

To derive a Baum-Katz-type result, we establish a Chover-type law of the iterated logarithm for the weighted sums of ρ ∗ -mixing and identically distributed random variables with a distribution in the domain of a stable law. Our result obtained not only generalizes the main results of Peng and Qi (2003) and Qi and Cheng (1996) to ρ ∗ -mixing sequences of random variables, but also improves them.

Suggested Citation

  • Guang-hui Cai, 2006. "Chover-type laws of the iterated logarithm for weighted sums of ρ ∗ -mixing sequences," International Journal of Stochastic Analysis, Hindawi, vol. 2006, pages 1-7, April.
    • Handle: RePEc:hin:jnijsa:065023
    DOI: 10.1155/JAMSA/2006/65023
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    Cited by:

    1. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024. "Inference in Heavy-Tailed Nonstationary Multivariate Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
    2. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
    3. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.

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