convergence of weighted linear process for -mixing random variables融合的加权混合随机变量的线性过程.pdfVIP

Hindawi Publishing Corporation Discrete Dynamics in Nature and Society Volume 2007, Article ID 74634, 7 pages doi:10.1155/2007/74634 Research Article Convergence of Weighted Linear Process for ρ-Mixing Random Variables Guang-Hui Cai Received 10 April 2006; Revised 11 January 2007; Accepted 15 March 2007 A central limit theorem and a functional central limit theorem are obtained for weighted linear process of ρ -mixing sequences for the X = ∞ a Y , where {Y , 0 ≤ i ∞} is a t i=0 i t−i i 2 ∞ i sequence of ρ -mixing random variables with EYi = 0, 0 EYi ∞, i=1ρ (2 ) ∞. The results obtained generalize the results of Liang et al. (2004) to ρ -mixing sequences. Copyright © 2007 Guang-Hui Cai. 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. 1. Introduction and main results A sequence {X , n ≥ 1} is said to be a ρ -mixing sequence, if n → ∞, we have n ρ (n) = sup cov(X , Y) / X Y −→ 0, (1.1) 2 2 2 k 2 ∞ k ≥1,X ∈L (F1 ), Y ∈L (Fk+n ) where F m is a σ -field that is generated by the random variables X ,X , ... ,X . Here n n n+1 m p 1/p X = (E |X | ) . p We assume that {Y , 0 ≤ i ∞} is a ρ -mixing sequence.