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On moments of the maximum of partial sums of moving average processes under dependence assumptions

On moments of the maximum of partial sums of moving average processes under dependence assumptions Let {Y i ;−∞ < i < ∞} be a doubly infinite sequence of identically distributed φ-mixing random variables and let {a i ;−∞ < i < ∞} be an absolutely summable sequence of real numbers. In this paper we study the moments of $\mathop {\sup }\limits_{n \geqslant 1} \left| {\sum\limits_{k = 1 - \infty }^n {\sum\limits_{}^\infty {a_i Y_{i + k} /n^{1/r} } } } \right|^p (1 \leqslant r < 2,p > 0)$ under the conditions of some moments. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On moments of the maximum of partial sums of moving average processes under dependence assumptions

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References (18)

Publisher
Springer Journals
Copyright
Copyright © 2011 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Theoretical, Mathematical and Computational Physics; Math Applications in Computer Science
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-011-0114-6
Publisher site
See Article on Publisher Site

Abstract

Let {Y i ;−∞ < i < ∞} be a doubly infinite sequence of identically distributed φ-mixing random variables and let {a i ;−∞ < i < ∞} be an absolutely summable sequence of real numbers. In this paper we study the moments of $\mathop {\sup }\limits_{n \geqslant 1} \left| {\sum\limits_{k = 1 - \infty }^n {\sum\limits_{}^\infty {a_i Y_{i + k} /n^{1/r} } } } \right|^p (1 \leqslant r < 2,p > 0)$ under the conditions of some moments.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Sep 9, 2011

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