complete convergence for moving average process of martingale differences完整的鞅收敛移动平均过程的差异.pdfVIP

Hindawi Publishing Corporation Discrete Dynamics in Nature and Society Volume 2012, Article ID 128492, 16 pages doi:10.1155/2012/128492 Research Article Complete Convergence for Moving Average Process of Martingale Differences Wenzhi Yang, Shuhe Hu, and Xuejun Wang School of Mathematical Science, Anhui University, Hefei 230039, China Correspondence should be addressed to Shuhe Hu, hushuhe@263.net Received 9 March 2012; Accepted 14 May 2012 Academic Editor: Chuanxi Qian Copyright q 2012 Wenzhi Yang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Under some simple conditions, by using some techniques such as truncated method for random variables see e.g., Gut 2005 and properties of martingale differences, we studied the moving process based on martingale differences and obtained complete convergence and complete moment convergence for this moving process. Our results extend some related ones. 1. Introduction Let {Y , −∞ i ∞} be a doubly infinite sequence of random variables. Assume that i {ai, −∞ i ∞} is an absolutely summable sequence of real numbers and ∞ X a Y , n ≥ 1 1.1 n i in i−∞ is the moving average process based on the sequence {Y , −∞ i ∞}. As usual, S n X , i n k1 k n ≥ 1, denotes the sequence of partial sums. For the moving average process {X