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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2007 Volume 52, Issue 2, Pages 405–414 (Mi tvp185)

This article is cited in 3 papers

Short Communications

On the rate of approximation in limit theorems for sums of moving averages

V. I. Paulauskas, D. Surgailis

The Faculty of Mathematics and Informatics, Vilnius University

Abstract: We consider a linear process $X_t=\sum_{j=0}^\infty a_j\varepsilon_{t-j}$, $t\ge 1$, where $\varepsilon_i$, $i\in Z$, are independent identically distributed random variables in the domain of attraction of a stable law with index $\alpha$, $0<\alpha\le 2$, $\alpha\ne 1$. Under some conditions on random variables $\varepsilon_i$ and coefficients $a_j$, we look for bounds in approximation of distribution of sums $S_n=B_n^{-1}\sum_{t=1}^nX_t$ by an appropriate stable law. The obtained bounds have optimal order with respect to $n$.

Keywords: linear processes, stable laws, accuracy of approximation.

Received: 04.05.2006

Language: English

DOI: 10.4213/tvp185


 English version:
Theory of Probability and its Applications, 2008, 52:2, 361–370

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