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林正炎; 李德柜
Lin Zhengyan; Li Degui
摘要: Let {Xt,t ≥ 1} be a moving average process defined by
$X_{t}=\sum\limits_{k=0}^{\infty}a_{k}\xi_{t-k}$, where {ak,k ≥ 0} is a sequence of real numbers and {ξt,-∞ < t<∞} is a doubly infinite sequence of strictly stationary dependent random variables. Under the conditions of {ak,k ≥ 0} which entail that {Xt,t ≥ 1} is either a long memory process or a linear process, the strong approximation of {Xt,t ≥ 1} to a Gaussian process is studied. Finally, the results are applied to obtain the strong approximation of a long memory process to a fractional Brownian motion and the laws of the iterated logarithm for moving average processes.
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