Strong law of large numbers for linear processes under sublinear expectation

Zhao-Ang Zhang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 6, 2205-2218

Abstract: In the framework of sublinear expectation, we investigate the limit behavior of linear processes and derive a strong law of large numbers for them. It turns out that our theorem is a natural extension of the one in the classical linear case, and we can derive the corresponding strong law of large numbers for independent random variables under sublinear expectation from our result.

Date: 2024
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DOI: 10.1080/03610926.2022.2122841

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