An extension of Lai and Wei's law of the iterated logarithm with applications to time series analysis and regression
type: Item
instance of: scholarly article
title: An extension of Lai and Wei's law of the iterated logarithm with applications to time series analysis and regression
zbMATH Open document ID: 0695.60038
DOI: 10.1016/0047-259X(90)90071-O
author: Zhao-Guo Chen
published in: Journal of Multivariate Analysis
publication date: 1990-01-01T00:00:00Z
review text: Extending a result of \textit{T.-L. Lai} and \textit{C.-Z. Wei} [Ann. Probab. 10, 320-335 (1982; Zbl 0485.60031)], a LIL is proved for \(S_ N=\sum_{n}a_{Nn}u_ n\) with \((a_{Nn})_{-\infty <n<\infty}^ a \)double array of non-random constants and \(u_ n=\sum^{\infty}_{j=0}k_ j\epsilon_{n-j}\), where the \(\epsilon_ n\) are independent random variables. This is applied to finite Fourier transforms and least square estimates in regression models in which the random disturbances form a linear series.
reviewed by: Heinrich Hering
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M15
zbMATH DE Number: 4138860
zbMATH Keywords: iterated logarithm
zbMATH Keywords: spectral analysis of time series
zbMATH Keywords: least square estimates
zbMATH Keywords: regression models
MaRDI profile type: Publication
cites work: Q3947020
cites work: Consistent estimates for hidden frequencies in a linear process
cites work: Strong consistency of least squares estimates in multiple regression II
cites work: A law of the iterated logarithm for double arrays of independent random variables with applications to regression and time series models
cites work: Q3703021
description: scientific article; zbMATH DE number 4138860