On Quotients of Moving Average Processes with Infinite Mean
- 1 April 1976
- journal article
- Published by JSTOR in Proceedings of the American Mathematical Society
- Vol. 56 (1) , 281-287
- https://doi.org/10.2307/2041620
Abstract
In this paper it is shown that one can estimate the sum of the weights used to form a stationary moving average stochastic process based on nonnegative random variables by taking the limit in probability of suitable quotients, even when the random variables involved have infinite expectation.Keywords
This publication has 2 references indexed in Scilit:
- Stationary and Related Stochastic Processes: Sample Function Properties and Their Applications.Journal of the Royal Statistical Society. Series A (General), 1968
- A Note on Sums of Independent Random Variables with Infinite First MomentThe Annals of Mathematical Statistics, 1967