相依样本下移动平滑过程的极限性质(英文)  

Limiting Behaviour of Moving Average Processes under Dependence Assumption

作　　者：施明华[1] 刘庆[2] 苏中根[3] 

机构地区：[1]皖西学院金融与数学学院,安徽六安237012 [2]江西财经大学统计学院,江西南昌310077 [3]浙江大学数学系,浙江杭州310027

出　　处：《应用数学》2014年第3期507-513,共7页Mathematica Applicata

基　　金：Supported by the National Natural Science Foundation of China(61070131);the Natural Science Research Programme of the Education Department of Anhui Province under Grant(KJ2009B113,KJ2010B270);the Excellent Youth Scholars of Ministry of the Education Department of Anhui Province(2009SQRZ189);the West Anhui University(WXYQ1305)

摘　　要：定义平滑过程{Xn=∑i=-∞∞aiYi+n;n≥1},其中{ai;-∞<i<∞}是绝对可和的实数序列,{Yi;-∞<i<∞}是独立同分布并且-ρ-混合的双边无限序列.在{Yi;-∞<i<∞}均值为零、方差有限等条件下,证明移动平滑过程的收敛性,推广了李和张的结论.Let{Xn;n≥1}be a moving average process defined by{Xn =∑i=-∞∞aiYi＋n;n≥1}where{ai;-∞ i ∞}is an absolutely summable sequence of real numbers,and{Yi;-∞ i ∞}is doubly infinite sequence of identically distributed andρ--mixing random variables with zero means and finite variances.Under some suitable conditions,the complete moment convergence of{Xn;n≥1}is proved,which extend the results of LI and ZHANG toρ--mixing case.

关 键 词：负相伴 移动平滑过程 -ρ-混合序列 

分 类 号：O211.4[理学—概率论与数理统计]