English

Variance of partial sums of stationary sequences

Probability 2013-10-22 v2

Abstract

Let X1,X2,X_1,X_2,\ldots be a centred sequence of weakly stationary random variables with spectral measure FF and partial sums Sn=X1++XnS_n=X_1+\cdots+X_n. We show that var(Sn)\operatorname {var}(S_n) is regularly varying of index γ\gamma at infinity, if and only if G(x):=xxF(dx)G(x):=\int_{-x}^xF(\mathrm {d}x) is regularly varying of index 2γ2-\gamma at the origin (0<γ<20<\gamma<2).

Keywords

Cite

@article{arxiv.1205.4172,
  title  = {Variance of partial sums of stationary sequences},
  author = {George Deligiannidis and Sergey Utev},
  journal= {arXiv preprint arXiv:1205.4172},
  year   = {2013}
}

Comments

Published in at http://dx.doi.org/10.1214/12-AOP772 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)