Complete moment convergence for the linear processes with random coefficients generated by a class of random variables

Zhiqiang Tang and Yong Zhang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 21, 7652-7664

Abstract: In this paper, we study the complete moment convergence for the partial sum of linear processes with random coefficients to form {Xt=∑j=−∞∞Ajεt−j, t∈Z}, where {εi, i∈Z} is a sequence of random variables with zero means and stochastically dominated by a random variable ε and {Ai, i∈Z} is a sequence of random variables, also {εi, i∈Z} and {Ai, i∈Z} satisfying the Rosenthal-type maximal inequality.

Date: 2022
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DOI: 10.1080/03610926.2021.1876238

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