<p>In this work, we investigate the complete convergence of randomly weighted sums of mixing random variables. Using the theory of regularly varying functions, we present results that are more general than previous works. Let <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\{X_n; n\ge 1\}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">{</mo> <msub> <mi>X</mi> <mi>n</mi> </msub> <mo>;</mo> <mi>n</mi> <mo>≥</mo> <mn>1</mn> <mo stretchy="false">}</mo> </mrow> </math></EquationSource> </InlineEquation> be a sequence of <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(\rho ^*\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mi>ρ</mi> <mo>∗</mo> </msup> </math></EquationSource> </InlineEquation>-mixing random variables, and <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(\{A_{n i}, 1 \le i \le n\}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">{</mo> <msub> <mi>A</mi> <mrow> <mi mathvariant="italic">ni</mi> </mrow> </msub> <mo>,</mo> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>n</mi> <mo stretchy="false">}</mo> </mrow> </math></EquationSource> </InlineEquation> be a triangular array of <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(\rho ^*\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mi>ρ</mi> <mo>∗</mo> </msup> </math></EquationSource> </InlineEquation>-mixing random variables that are independent of <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(\{X_{n};n\ge 1\}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">{</mo> <msub> <mi>X</mi> <mi>n</mi> </msub> <mo>;</mo> <mi>n</mi> <mo>≥</mo> <mn>1</mn> <mo stretchy="false">}</mo> </mrow> </math></EquationSource> </InlineEquation>. Under a mild condition, we give the necessary and sufficient conditions for the convergence of the series <Equation ID="Equ69"> <EquationSource Format="TEX">\(\begin{aligned} \sum _{n=1}^{\infty }\frac{f(n)}{n^{2}}\mathbb {P}\left( \max \limits _{1 \le k \le n} \left| \sum _{i=1}^{k}A_{ni}X_{i} \right|&gt;\varepsilon g(n)\right) \text { for all }\epsilon &gt;0, \end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <munderover> <mo>∑</mo> <mrow> <mi>n</mi> <mo>=</mo> <mn>1</mn> </mrow> <mi>∞</mi> </munderover> <mfrac> <mrow> <mi>f</mi> <mo stretchy="false">(</mo> <mi>n</mi> <mo stretchy="false">)</mo> </mrow> <msup> <mi>n</mi> <mn>2</mn> </msup> </mfrac> <mi mathvariant="double-struck">P</mi> <mfenced close=")" open="("> <munder> <mo movablelimits="false">max</mo> <mrow> <mn>1</mn> <mo>≤</mo> <mi>k</mi> <mo>≤</mo> <mi>n</mi> </mrow> </munder> <mfenced close="|" open="|"> <munderover> <mo>∑</mo> <mrow> <mi>i</mi> <mo>=</mo> <mn>1</mn> </mrow> <mi>k</mi> </munderover> <msub> <mi>A</mi> <mrow> <mi mathvariant="italic">ni</mi> </mrow> </msub> <msub> <mi>X</mi> <mi>i</mi> </msub> </mfenced> <mo>&gt;</mo> <mi>ε</mi> <mi>g</mi> <mrow> <mo stretchy="false">(</mo> <mi>n</mi> <mo stretchy="false">)</mo> </mrow> </mfenced> <mspace width="0.333333em" /> <mtext>for all</mtext> <mspace width="0.333333em" /> <mi>ϵ</mi> <mo>&gt;</mo> <mn>0</mn> <mo>,</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>where <i>f</i> and <i>g</i> are regularly varying functions. Moreover, we also consequently give a result for asymptotics of the quasi-renewal counting process. The main results are subsequently applied to simple linear regression models and state observers of linear-time invariant systems. Examples and numerical simulations are also provided to demonstrate our results.</p>

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A general result on Hsu-Robbins-Erdös for randomly weighted sum of \(\rho ^*\)-mixing processes via the theory of the regular variation and its applications

  • Cong Son Ta,
  • Trung Duc Nguyen,
  • Trang Ta,
  • Dung Le Van

摘要

In this work, we investigate the complete convergence of randomly weighted sums of mixing random variables. Using the theory of regularly varying functions, we present results that are more general than previous works. Let \(\{X_n; n\ge 1\}\) { X n ; n 1 } be a sequence of \(\rho ^*\) ρ -mixing random variables, and \(\{A_{n i}, 1 \le i \le n\}\) { A ni , 1 i n } be a triangular array of \(\rho ^*\) ρ -mixing random variables that are independent of \(\{X_{n};n\ge 1\}\) { X n ; n 1 } . Under a mild condition, we give the necessary and sufficient conditions for the convergence of the series \(\begin{aligned} \sum _{n=1}^{\infty }\frac{f(n)}{n^{2}}\mathbb {P}\left( \max \limits _{1 \le k \le n} \left| \sum _{i=1}^{k}A_{ni}X_{i} \right|>\varepsilon g(n)\right) \text { for all }\epsilon >0, \end{aligned}\) n = 1 f ( n ) n 2 P max 1 k n i = 1 k A ni X i > ε g ( n ) for all ϵ > 0 , where f and g are regularly varying functions. Moreover, we also consequently give a result for asymptotics of the quasi-renewal counting process. The main results are subsequently applied to simple linear regression models and state observers of linear-time invariant systems. Examples and numerical simulations are also provided to demonstrate our results.