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Complete q -order moment convergence of moving average processes under ϕ -mixing assumptions

Xing-Cai ZhouJin-Guan Lin — 2014

Applications of Mathematics

Let { Y i , - < i < } be a doubly infinite sequence of identically distributed ϕ -mixing random variables, and { a i , - < i < } an absolutely summable sequence of real numbers. We prove the complete q -order moment convergence for the partial sums of moving average processes X n = i = - a i Y i + n , n 1 based on the sequence { Y i , - < i < } of ϕ -mixing random variables under some suitable conditions. These results generalize and complement earlier results.

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