English

Complete moment and integral convergence for sums of negatively associated random variables

Probability 2008-02-20 v1

Abstract

For a sequence of identically distributed negatively associated random variables {Xn;n1}\{X_n; n\geq 1\} with partial sums Sn=i=1nXi,n1S_n=\sum_{i=1}^nX_i, n\geq 1, refinements are presented of the classical Baum-Katz and Lai complete convergence theorems. More specifically, necessary and sufficient moment conditions are provided for complete moment convergence of the form nn0nr21pqanE(max1knSk1qϵbn1pq)+< \sum_{n \ge n_0} n^{r -2 -\frac{1}{pq}} a_n E(\max_{1 \le k \le n}|S_k|^{\frac{1}{q}} - \epsilon b_n^{\frac{1}{pq}})^+ < \infty to hold where r>1,q>0r>1, q>0 and either n0=1,0<p<2,an=1,bn=nn_0=1, 0<p<2, a_n=1, b_n=n or n0=3,p=2,an=(logn)12q,bn=nlognn_0=3, p=2, a_n=(\log n)^{-\frac{1}{2q}}, b_n=n\log n. These results extend results of Chow (1988) and Li and Sp\u{a}taru (2005) from the independent and identically distributed case to the identically distributed negatively associated setting. The complete moment convergence is also shown to be equivalent to a form of complete integral convergence.

Keywords

Cite

@article{arxiv.0802.2645,
  title  = {Complete moment and integral convergence for sums of negatively associated random variables},
  author = {Han-Ying Liang and Deli Li and Andrew Rosalsky},
  journal= {arXiv preprint arXiv:0802.2645},
  year   = {2008}
}

Comments

Submitted to the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T10:13:48.405Z