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Contents of PMS, Vol. 41, Fasc. 2,
pages 373 - 395
DOI: 10.37190/0208-4147.41.2.10
Published online 7.10.2021
 

Complete \(f\)-moment convergence of moving average processes and its application to nonparametric~regression models

Chi Yao
Rui Wang
Ling Chen
Xuejun Wang

Abstract:

In this paper, we establish a general result on complete \(f\)-moment convergence of the moving average process based on widely orthant dependent random variables, which generalizes some results in the literature. In addition, an application of complete consistency to nonparametric regression models is provided. Finally, we provide a numerical simulation to verify the validity of our theoretical results.

2010 AMS Mathematics Subject Classification: Primary 60F15; Secondary 62G20.

Keywords and phrases: complete $f$-moment convergence, widely orthant dependent random variables, nonparametric regression models, complete consistency.

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