BOUNDS FORFOR SUBORDINATED LINEAR PROCESSES WITHAPPLICATION TO-ESTIMATION
Konrad Furmańczyk
Abstract: Let be a one-sided -dimensional linear process, where
is a sequence of i.i.d. random vectors with zero mean and finite covariance matrix. The aim of
this paper is to prove the moment inequalities of the form
(1)
for the sum
(2)
where is a real function defined on The form of the constant in (1) plays an
important role in applications concerning the problems of -estimation, especially the
Ghosh representation.