Weak law of large numbers for linear processes (1602.00461v1)

Abstract: We establish sufficient conditions for the Marcinkiewicz-Zygmund type weak law of large numbers for a linear process ${X_k:k\in\mathbb Z}$ defined by $X_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j}$ for $k\in\mathbb Z$, where ${\psi_j:j\in\mathbb Z}\subset\mathbb R$ and ${\varepsilon_k:k\in\mathbb Z}$ are independent and identically distributed random variables such that $x^p\Pr{|\varepsilon_0|>x}\to0$ as $x\to\infty$ with $1<p<2$ and $\operatorname E\varepsilon_0=0$. We use an abstract norming sequence that does not grow faster than $n^{1/p}$ if $\sum|\psi_j|<\infty$. If $\sum|\psi_j|=\infty$, the abstract norming sequence might grow faster than $n^{1/p}$ as we illustrate with an example. Also, we investigate the rate of convergence in the Marcinkiewicz-Zygmund type weak law of large numbers for the linear process.