English

Weak law of large numbers for linear processes

Probability 2016-09-07 v1

Abstract

We establish sufficient conditions for the Marcinkiewicz-Zygmund type weak law of large numbers for a linear process {Xk:kZ}\{X_k:k\in\mathbb Z\} defined by Xk=j=0ψjεkjX_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j} for kZk\in\mathbb Z, where {ψj:jZ}R\{\psi_j:j\in\mathbb Z\}\subset\mathbb R and {εk:kZ}\{\varepsilon_k:k\in\mathbb Z\} are independent and identically distributed random variables such that xpPr{ε0>x}0x^p\Pr\{|\varepsilon_0|>x\}\to0 as xx\to\infty with 1<p<21<p<2 and Eε0=0\operatorname E\varepsilon_0=0. We use an abstract norming sequence that does not grow faster than n1/pn^{1/p} if ψj<\sum|\psi_j|<\infty. If ψj=\sum|\psi_j|=\infty, the abstract norming sequence might grow faster than n1/pn^{1/p} as we illustrate with an example. Also, we investigate the rate of convergence in the Marcinkiewicz-Zygmund type weak law of large numbers for the linear process.

Keywords

Cite

@article{arxiv.1602.00461,
  title  = {Weak law of large numbers for linear processes},
  author = {Vaidotas Characiejus and Alfredas Račkauskas},
  journal= {arXiv preprint arXiv:1602.00461},
  year   = {2016}
}

Comments

17 pages

R2 v1 2026-06-22T12:40:45.816Z