Complete moment convergence for weighted sums of weakly dependent random variables and its application in nonparametric regression model

Yi Wu, Xuejun Wang and Shuhe Hu

Statistics & Probability Letters, 2017, vol. 127, issue C, 56-66

Abstract: In this paper, some results on the complete moment convergence for weighted sums of weakly dependent (or ρ∗-mixing) random variables are established. The results obtained in this paper improve and extend the corresponding one of Sung (2010). As an application of the main results, we present a result on complete consistency for the weighted estimator in a nonparametric regression model based on ρ∗-mixing errors.

Keywords: Weakly dependent random variables; Complete moment convergence; Complete convergence; Nonparametric regression model; Complete consistency (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.03.027

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