Complete moment and integral convergence for sums of negatively associated random variables

Liang, Han-Ying; Li, Deli; Rosalsky, Andrew

Complete moment and integral convergence for sums of negatively associated random variables

Authors

Liang, Han-Ying

Li, Deli

Rosalsky, Andrew

Description

For a sequence of identically distributed negatively associated random variables $\{X_n; n\geq 1\}$ with partial sums $S_n=\sum_{i=1}^nX_i, n\geq 1$, refinements are presented of the classical Baum-Katz and Lai complete convergence theorems. More specifically, necessary and sufficient moment conditions are provided for complete moment convergence of the form $$ \sum_{n \ge n_0} n^{r -2 -\frac{1}{pq}} a_n E(\max_{1 \le k \le n}|S_k|^{\frac{1}{q}} - εb_n^{\frac{1}{pq}})^+ < \infty $$ to hold where $r>1, q>0$ and either $n_0=1, 0<p<2, a_n=1, b_n=n$ or $n_0=3, p=2, a_n=(\log n)^{-\frac{1}{2q}}, b_n=n\log n$. These results extend results of Chow (1988) and Li and Spătaru (2005) from the independent and identically distributed case to the identically distributed negatively associated setting. The complete moment convergence is also shown to be equivalent to a form of complete integral convergence.
Submitted to the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)