On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes (2007.06083v3)

Abstract: Marcinkiewicz strong law of large numbers, ${n^{-\frac1p}}\sum_{k=1}^{n} (d_{k}- d)\rightarrow 0\ $ almost surely with $p\in(1,2)$, are developed for products $d_k=\prod_{r=1}^s x_k^{(r)}$, where the $x_k^{(r)} = \sum_{l=-\infty}^{\infty}c_{k-l}^{(r)}\xi_l^{(r)}$ are two-sided linear processes with coefficients ${c_l^{(r)}}_{l\in \mathbb{Z}}$ and i.i.d. zero-mean innovations ${\xi_l^{(r)}}_{l\in \mathbb{Z}}$. The decay of the coefficients $c_l^{(r)}$ as $|l|\to\infty$, can be slow enough for ${x_k^{(r)}}$ to have long memory while ${d_k}$ can have heavy tails. The long-range dependence and heavy tails for ${d_k}$ are handled simultaneously and a decoupling property shows the convergence rate is dictated by the worst of long-range dependence and heavy tails, but not their combination. The Marcinkiewicz strong law of large numbers is also extended to the multivariate linear process case.