Moment inequalities for m-negatively associated random variables and their applications
Tóm tắt
The moment inequalities for m-NA random variables, especially the Marcinkiewicz–Zygmund type inequality and Rosenthal type inequality are established and the Khintchine–Kolmogorov convergence theorem and the three series theorem for m-NA random variables are also obtained. As one application of the moment inequalities, we study the large deviation for least squares estimator in nonlinear regression models under some general conditions. As another application, we investigate the strong consistency for least squares estimator in multiple linear regression models based on m-NA random variables.
Tài liệu tham khảo
Alam K, Saxena KML (1981) Positive dependence in multivariate distributions. Commun Stat Theory Method 10:1183–1196
Chen GJ, Lai TL, Wei CZ (1981) Convergence systems and strong consistency of least squares estimates in regression models. J Multivar Anal 11(3):319–333
Chen P, Hu TC, Liu X, Volodin A (2008) On complete convergence for arrays of rowwise negatively associated random variables. Theory Probab Appl 52:323–328
Hu SH (2002) The rate of convergence for the least squares estimator in nonlinear regression model with dependent errors. Sci China Ser A 45(2):137–146
Hu SH (2004) Consistency for the least squares estimator in nonlinear regression model. Stat Probab Lett 67(2):183–192
Hu TC, Chiang CY, Taylor RL (2009) On complete convergence for arrays of rowwise \(m\)-negatively associated random variables. Nonlinear Anal 71:1075–1081
Ivanov AV (1976) An asymptotic expansion for the distribution of the least squares estimator of the nonlinear regression parameter. Theory Probab Appl 21(3):557–570
Ivanov AV (1997) Asymptotic theory of nonlinear regression. Kluwer Academic Publishers, Dordrecht
Ivanov AV, Leonenko NN (1989) Statistical analysis of random fields. Kluwer Academic Publishers, Dordrecht
Jennrich RI (1969) Asymptotic properties of nonlinear least squares estimators. Ann Math Stat 40(2):633–643
Joag-Dev K, Proschan F (1983) Negative association of random variables with applications. Ann Stat 11(1):286–295
Liang HY, Zhang JJ (2010) Strong convergence for weighted sums of negatively associated arrays. Chin Ann Math Ser B 31B(2):273–288
Ling NX (2008) The Bahadur representation for sample quantiles under negatively associated sequence. Stat Probab Lett 78:2660–2663
Malinvaud E (1970) The consistency of nonlinear regression. Ann Math Stat 41(3):956–969
Matula P (1992) A note on the almost sure convergence of sums of negatively dependent random variables. Stat Probab Lett 15:209–213
Prakasa Rao BLS (1984) The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors. J Multivar Anal 14(3):315–322
Schmetterer L (1974) Introduction to mathematical statistics. Springer, Berlin
Shao QM (2000) A comparison theorem on moment inequalities between negatively associated and independent random variables. J Theor Probab 13:343–356
Sung SH (2011) On the strong convergence for weighted sums of random variables. Stat Pap 52:447–454
Wang XH, Hu SH (2012) Complete convergence and complete moment convergence for a class of random variables. J Inequal Appl 2012, Article ID 229, 12 pp
Wang XH, Hu SH (2014) Weak laws of large numbers for arrays of dependent random variables. Stoch Int J Probab Stoch Process 86(5):759–775
Wang XJ, Li XQ, Hu SH, Yang WZ (2011) Strong limit theorems for weighted sums of negatively associated random variables. Stoch Anal Appl 29(1):1–14
Wang XJ, Deng X, Zheng LL, Hu SH (2014a) Complete convergence for arrays of rowwise negatively superadditive-dependent random variables and its applications. Stat J Theor Appl Stat 48:834–850
Wang XJ, Xu C, Hu TC, Volodin A, Hu SH (2014b) On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models. Test 23:607–629
Yang WZ, Hu SH (2014) Large deviation for a least squares estimator in a nonlinear regression model. Stat Probab Lett 91:135–144
Zarei H, Jabbari H (2011) Complete convergence of weighted sums under negative dependence. Stat Pap 52:413–418