Abstract
In this paper, we discuss precise asymptotics for a new kind of moment convergence of the moving-average process \(X_k = \sum\limits_{i = - \infty }^\infty {a_{i + k} \varepsilon _i }\), k ≥1, where {ε i : −∞ < i < ∞} is a doubly infinite sequence of independent identically distributed random variables with mean zero and the finiteness of variance, {α i : −∞ < i < ∞} is an absolutely summable sequence of real numbers, i.e., \(\sum\limits_{i = - \infty }^\infty {\left| {a_i } \right| < \infty }\).
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Communicated by Gejza Wimmer
This work was supported by the Natural Science Research Project of Ordinary Universities in Jiangsu Province, PR China. Grant No. 12KJB110003.
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Zang, Qp. Convergence rates in the complete moment of moving-average processes. Math. Slovaca 62, 967–978 (2012). https://doi.org/10.2478/s12175-012-0058-1
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DOI: https://doi.org/10.2478/s12175-012-0058-1