R E S E A R C H
Open Access
Complete convergence for negatively orthant
dependent random variables
Dehua Qiu
1*, Qunying Wu
2and Pingyan Chen
3*Correspondence:
[email protected] 1School of Mathematics and
Statistics, Guangdong University of Finance and Economics, Guangzhou, 510320, P.R. China Full list of author information is available at the end of the article
Abstract
In this paper, necessary and sufficient conditions of the complete convergence are obtained for the maximum partial sums of negatively orthant dependent (NOD) random variables. The results extend and improve those in Kuczmaszewska (Acta Math. Hung. 128(1-2):116-130, 2010) for negatively associated (NA) random variables.
MSC: 60F15; 60G50
Keywords: NOD; complete convergence
1 Introduction
The concept of complete convergence for a sequence of random variables was introduced by Hsu and Robbins [] as follows. A sequence{Un,n≥}of random variablesconverges
completelyto the constantθ if
∞
n=
P|Un–θ|>ε
<∞ for allε> .
Moreover, they proved that the sequence of arithmetic means of independent identically distribution (i.i.d.) random variables converges completely to the expected value if the variance of the summands is finite. This result has been generalized and extended in sev-eral directions by many authors. One can refer to [–], and so forth. Kuczmaszewska [] proved the following result.
Theorem A Let{Xn,n≥}be a sequence of negatively associated(NA)random variables and X be a random variables possibly defined on a different space satisfying the condition
n
n
i=
P|Xi|>x=DP|X|>x
for all x> ,all n≥and some positive constant D.Letαp> andα> /.Moreover,
additionally assume that EXn= for all n≥if p≥.Then the following statements are
equivalent:
(i) E|X|p<∞,
(ii) ∞n=nαp–P(max ≤j≤n|
j
i=Xi| ≥εnα) <∞,∀ε> .
The aim of this paper is to extend and improve Theorem A to negatively orthant de-pendent (NOD) random variables. The tool in the proof of Theorem A is the Rosenthal
maximal inequality for NA sequence (cf.[]), but no one established the kind of maximal inequality for NOD sequence. So the truncated method is different and the proofs of our main results are more complicated and difficult.
The concept of negatively associated (NA) and negatively orthant dependent (NOD) was introduced by Joag-Dev and Proschan [] in the following way.
Definition . A finite family of random variables{Xi, ≤i≤n}is said to be negatively associated (NA) if for every pair of disjoint nonempty subsetA,Aof{, , . . . ,n},
Covf(Xi,i∈A),f(Xj,j∈A)≤,
wherefandfare coordinatewise nondecreasing such that the covariance exists. An in-finite sequence of{Xn,n≥}is NA if every finite subfamily is NA.
Definition . A finite family of random variables{Xi, ≤i≤n}is said to be
(a) negatively upper orthant dependent (NUOD) if
P(Xi>xi,i= , , . . . ,n)≤ n
i=
P(Xi>xi)
for∀x,x, . . . ,xn∈R,
(b) negatively lower orthant dependent (NLOD) if
P(Xi≤xi,i= , , . . . ,n)≤ n
i=
P(Xi≤xi)
for∀x,x, . . . ,xn∈R,
(c) negatively orthant dependent (NOD) if they are both NUOD and NLOD.
A sequence of random variables{Xn,n≥}is said to be NOD if for eachn,X,X, . . . ,Xn are NOD.
Obviously, every sequence of independent random variables is NOD. Joag-Dev and Proschan [] pointed out that NA implies NOD, neither being NUOD nor being NLOD implies being NA. They gave an example that possesses NOD, but does not possess NA, which shows that NOD is strictly wider than NA. For more details of NOD random vari-ables, one can refer to [, , , , –], and so forth.
In order to prove our main results, we need the following lemmas.
Lemma .(Bozorgniaet al.[]) Let X,X, . . . ,Xnbe NOD random variables.
(i) Iff,f, . . . ,fnare Borel functions all of which are monotone increasing(or all
monotone decreasing),thenf(X),f(X), . . . ,fn(Xn)are NOD random variables. (ii) Eni=Xi+≤ni=EX+i,∀n≥.
every n≥,then for all n≥,
E
n
i= Xi
q ≤C(q)
n
i=
E|Xi|q+
n
i= EXi
q/
.
Lemma . For any q≥,there is a positive constant C(q)depending only on q such that if{Xn,n≥}is a sequence of NOD random variables with EXn= for every n≥,then for
all n≥,
Emax
≤j≤n
j
i= Xi
q
≤C(q)log(n)q n
i=
E|Xi|q+
n
i= EXi
q/
.
Proof By Lemma ., the proof is similar to that of Theorem .. in Stout [], so it is
omitted here.
Lemma .(Kuczmaszewska []) Letβ,γ be positive constants.Suppose that{Xn,n≥} is a sequence of random variables and X is a random variable.There exists constant D>
such that
n
i=
P|Xi|>x≤DnP|X|>x, ∀x> ,∀n≥; (.)
(i) ifE|X|β<∞,then
n
n
j=E|Xj|
β≤CE|X|β;
(ii) nnj=E|Xj|βI(|Xj| ≤γ)≤C{E|X|βI(|X| ≤γ) +γβP(|X|>γ)}; (iii) nnj=E|Xj|βI(|Xj|>γ)≤CE|X|βI(|X|>γ).
Recall that a functionh(x) is said to be slowly varying at infinity if it is real valued, posi-tive, and measurable on [,∞), and if for eachλ>
lim x→∞
h(λx)
h(x) = .
We refer to Seneta [] for other equivalent definitions and for a detailed and comprehen-sive study of properties of slowly varying functions.
We frequently use the following properties of slowly varying functions (cf.Seneta []).
Lemma . If h(x)is a function slowly varying at infinity,then for any s>
Cn–sh(n)≤ ∞
i=n
i––sh(i)≤Cn–sh(n)
and
Cnsh(n)≤ n
i=
i–+sh(i)≤Cnsh(n),
where C,C,C,C> depend only on s.
2 Main results and proofs
Theorem . Letα> /,p> ,αp> and h(x)be a slowly varying function at infinity.Let
{Xn,n≥}be a sequence of NOD random variables and X be a random variables possibly defined on a different space satisfying the condition(.).Moreover,additionally assume that forα≤,EXn= for all n≥.If
E|X|ph|X|/α<∞, (.)
then the following statements hold:
(i) ∞
n=
nαp–h(n)P
max
≤j≤n|Sj| ≥εn α
<∞, ∀ε> ; (.)
(ii) ∞
n=
nαp–h(n)Pmax ≤k≤nS
(k)
n ≥εnα
<∞, ∀ε> ; (.)
(iii) ∞
n=
nαp–h(n)P
max
≤j≤n|Xj| ≥εn
α
<∞, ∀ε> ; (.)
(iv) ∞
n=
nαp–h(n)P
sup j≥nj
–α|Sj| ≥ε<∞, ∀ε> ; (.)
(v) ∞
n=
nαp–h(n)Psup
j≥nj
–α|Xj| ≥ε<∞, ∀ε> . (.)
Here Sn=
n
i=Xi,S (k)
n =Sn–Xk,k= , , . . . ,n.
Proof First, we prove (.). Chooseqsuch that /αp<q< . LetXi(n,)= –nαqI(X
i< –nαq) +
XiI(|Xi| ≤nαq) +nαqI(Xi>nαq), Xi(n,)= (Xi–nαq)I(Xi>nαq), Xi(n,) = –(Xi+nαq)I(Xi< –nαq),∀n≥, ≤i≤n. Note that
Xi=Xi(n,)+X
(n,)
i –X
(n,)
i
and
∞
n=
nαp–h(n)P
max
≤j≤n|Sj|>εn α
≤ ∞
n=
nαp–h(n)P
max
≤j≤n
j
i= Xi(n,)
>εnα/
+ ∞
n=
nαp–h(n)P
n
i=
Xi(n,)>εnα/
+ ∞
n=
nαp–h(n)P
n
i=
Xi(n,)>εnα/
def
=I+I+I. (.)
η)q> andp–η– > ifp> . In order to proveI<∞, we first prove that
lim n→∞n
–αmax ≤j≤n
j
i= EXi(n,)
= . (.)
This holds whenα≤. Sinceαp> ,p> . ByEXi= ,i≥, and Lemma ., we have
n–αmax
≤j≤n
j
i= EXi(n,)
≤ n–αmax≤j≤n
j
i=
E|Xi|I|Xi|>nαq+nαqP|Xi|>nαq
≤ n–α
n
i=
E|Xi|I|Xi|>nαq≤Cn–αE|X|I|X|>nαq
≤ Cn–{α(p–η)q–}–α(–q)E|X|p–η
→, n→ ∞.
Whenα> ,p> ,
n–αmax
≤j≤n
j
i= EXi(n,)
≤ n–αmax≤j≤n j
i=
E|Xi|I|Xi| ≤nαq+nαqP|Xi|>nαq
≤ n–α
n
i=
E|Xi| ≤Cn–αE|X|
→, n→ ∞.
Whenα> ,p≤,
n–αmax
≤j≤n
j
i= EXi(n,)
≤ n–αmax≤j≤n
j
i=
E|Xi|I|Xi| ≤nαq+nαqP|Xi|>nαq
≤ n–α
n
i=
E|Xi|I|Xi| ≤nαq+nαqP|Xi|>nαq
≤ n–α
n
i=
nα(–p+η)qE|Xi|p–η
≤ Cn–{α(p–η)q–}–α(–q)E|X|p–η
→, n→ ∞.
Therefore, (.) holds. So, in order to proveI<∞, it is enough to prove that
I∗:= ∞
n=
nαp–h(n)P
max
≤j≤n
j
i=
Xi(n,)–EXi(n,) >εnα/
<∞. (.)
By Lemma . for∀n≥,{Xi(n,)–EX(in,), ≤i≤n}is a sequence of NOD random vari-ables. When <p≤, byα(p–η) > and <q< , we have α–
–α( –
p–η )q>
–α( –
p–η )q),
p–(p–η)q
–q }, we get by the Markov inequality, theCrinequality, the Hölder inequality, and Lemma .,
I∗≤C
∞
n=
nαp–αv–h(n)log(n)vn i=
EXi(n,)v
+C
∞
n=
nαp–αv–h(n)log(n)v
n
i=
EX(in,) v/
def
= I∗ +I∗.
By theCrinequality, Lemma ., and Lemma ., we have
I∗ ≤C
∞
n=
nαp–αv–h(n)log(n)v n
i=
E|Xi|vI|Xi| ≤nαq+nαqvP|Xi|>nαq
≤C
∞
n=
nαp–αv–h(n)log(n)v
E|X|vI|X| ≤nαq+nαqvP|X|>nαq
≤C
∞
n=
nα{–(–q)v+p–q(p–η)}–h(n)log(n)vE|X|p–η<∞.
By theCrinequality and Lemma .,
I∗ ≤C
∞
n=
nαp–αv–h(n)log(n)v n i=
E|Xi|I|Xi| ≤nαq+nαqP|Xi|>nαq
v/
≤C
∞
n=
nαp––(α–/)vh(n)log(n)vE|X|I|X| ≤nαq+nαqP|X|>nαqv/.
Whenp> ,
I∗ ≤C
∞
n=
nαp––(α–/)vh(n)log(n)v
EXv/<∞.
When <p≤,
I∗ ≤C
∞
n=
nαp––(α–/)vh(n)log(n)vE|X|p–ηv/nαq{–(p–η)}v/
≤C
∞
n=
nαp––{α––α(–p–η)q}vh(n)log(n)v <∞.
Therefore, (.) holds forI. DefineYi(n,)= (Xi–nαq)I(nαq<Xi≤nα+nαq) +nαI(Xi>
nα+nαq), ≤i≤n,n≥, sinceX(n,)
i =Y
(n,)
i + (Xi–nαq–nα)I(Xi>nα+nαq), we have
I≤
∞
n=
nαp–h(n)P
n
i=
Yi(n,)>εnα/
+ ∞
n=
nαp–h(n)P
n
i=
Xi–nαq–nα
IXi>nα+nαq
>εnα/
def
By Lemma ., (.), and a standard computation, we have
I≤
∞
n=
nαp–h(n) n
i=
PXi>nα+nαq
≤ ∞
n=
nαp–h(n) n
i=
P|Xi|>nα
≤C
∞
n=
nαp–h(n)P|X|>nα≤C+CE|X|ph|X|/α<∞. (.)
Now we proveI<∞. By (.) and Lemma ., we have
≤n–α
n
i= EYi(n,)
≤
⎧ ⎨ ⎩
n–αn
i=EXiI(Xi>nαq), ifp> ,
n–αn
i={E|Xi|I(|Xi| ≤n
α) +nαP(|Xi|> nαq)}, if <p≤
≤
⎧ ⎨ ⎩
Cn–{α(p–η)q–}–α(–q)E|X|p–η, ifp> ,
Cn–α(p–η)qE|X|p–η, if <p≤→
, n→ ∞.
Therefore, in order to proveI<∞, it is enough to prove that
I∗ ≤
∞
n=
nαp–h(n)P
n
i=
Yi(n,)–EYi(n,)>εnα/
<∞. (.)
Takingvsuch thatv>max{,α–/αp–,α((αp–η)–p–)}, we get by Lemma ., the Markov inequality, theCrinequality, the Hölder inequality, and Lemma .,
I∗ ≤ C
∞
n=
nαp–αv–h(n)E n i=
Yi(n,)–EYi(n,) v ≤ C ∞ n=
nαp–αv–h(n) n
i=
EYi(n,)v+C
∞
n=
nαp–αv–h(n)
n
i=
EYi(n,) v/
def
= I∗ +I∗ .
By theCrinequality, Lemma ., Lemma ., (.), and a standard computation, we have
I∗ =C
∞
n=
nαp–αv–h(n) n
i=
EYi(n,)v
≤C
∞
n=
nαp–αv–h(n)
n
i=
EXivInαq<X
i≤nαq+nα
+nαvPX
i>nαq+nα
≤C
∞
n=
nαp–αv–h(n) n
i=
E|Xi|vI|Xi| ≤nα+nαvP|Xi|>nα
≤C
∞
n=
nαp–αv–h(n)E|X|vI|X| ≤nα+nαvP|X|>nα
and
I∗ ≤C
∞
n=
nαp–αv–h(n) n
i=
EXiInαq<Xi≤nαq+nα
+nαPXi>nαq+nα
v/
≤C
∞
n=
nαp–αv+v/–h(n)EXI|X| ≤nα+nαP|X|>nαv/
≤
⎧ ⎨ ⎩
C∞n=nαp–(α–/)v–h(n)(EX)v/, ifp> ,
C∞n=nαp––{α(p–η)–}v/h(n)(E|X|p–η)v/, ifp≤
≤
⎧ ⎨ ⎩
C∞n=nαp–(α–/)v–h(n), ifp> ,
C∞n=nαp––{α(p–η)–}v/h(n), ifp≤
<∞.
Therefore, (.) holds. By (.)-(.) we getI<∞. In a similar way ofI<∞we can obtainI<∞. Thus, (.) holds.
(.)⇒(.). Note that|S(nk)|=|Sn–Xk| ≤ |Sn|+|Xk|=|Sn|+|Sk–Sk–| ≤ |Sn|+|Sk|+
|Sk–| ≤max≤j≤n|Sj|, we have (max≤k≤n|Sn(k)| ≥εnα)⊆(max≤j≤n|Sj| ≥εnα/), hence,
from (.), (.) holds.
(.)⇒(.). Since |Sn| ≤n–n |Sn|=|nnk=Sn(k)| ≤max≤k≤n|Sn(k)|,∀n≥, and|Xk|= |Sn–S(nk)| ≤ |Sn|+|S(nk)|, we have (max≤k≤n|Xk| ≥εnα)⊆(|Sn| ≥εnα/)∪(max≤k≤n|S(nk)| ≥ εnα/)⊆(max
≤k≤n|S(nk)| ≥εnα/),∀n≥, hence, from (.), (.) holds. (.)⇒(.). By Lemma . and (.), we have
∞
n=
nαp–h(n)P
sup j≥nj
–α|Sj| ≥ε
= ∞
i=
i–≤n<i
nαp–h(n)Psup
j≥nj
–α|Sj| ≥ε
≤C
∞
i=
i(αp–)hiP
sup j≥i–
j–α|Sj| ≥ε
≤C
∞
i=
i(αp–)hi ∞
k=i
P
max
k–≤j<k|Sj| ≥ε
α(k–)
≤C
∞
k= P
max
k–≤j<k|Sj| ≥ε
α(k–)
k
i=
i(αp–)hi
≤C
∞
k=
k(αp–)hkP
max
≤j<k|Sj| ≥ε
α(k–)<∞.
(.)⇒(.). The proof of (.)⇒(.) is similar to that of (.)⇒(.), so it is
omit-ted.
Theorem . Letα> /,p> ,αp> and h(x)be a slowly varying function at infinity.Let
defined on a different space.Moreover,additionally assume that forα≤,EXn= for all
n≥.If there exist constant D> and D> such that
D n
n–
i=n
P|Xi|>x≤P|X|>x≤D n
n–
i=n
P|Xi|>x, ∀x> ,n≥,
then(.)-(.)are equivalent.
Proof From the proof of Theorem ., in order to prove Theorem ., it is enough to show that (.)⇒(.) and (.)⇒(.). The proof of (.)⇒(.) is similar to that of (.)⇒(.). Now, we prove (.)⇒(.). Firstly we prove that
lim n→∞P
sup j≥nj
–α|Xj| ≥ε= , ∀ε> . (.)
Otherwise, there areε> ,δ> , and a sequence of positive integers{nk,k≥},nk↑ ∞ such thatP(supj≥nkj–α|Xj| ≥ε
)≥δ,∀k≥. Without loss of generality, we can assume
thatnk+≥nk,∀k≥. Therefore, we have
P
sup j≥nk
j–α|Xj| ≥ε
≥δ, ∀k≥.
Byαp> we have
∞
n=
nαp–h(n)P
sup j≥nj
–α|Xj| ≥ε
≥ ∞
k= nk
n=nk+
nαp–h(n)P
sup j≥nj
–α|Xj| ≥ε
≥C
∞
k=
nαkp–h(nk)P
sup j≥nk
j–α|Xj| ≥ε
=∞,
which is in contradiction with (.), thus, (.) holds. By Lemma ., we get
P
sup j≥nj
–α|Xj| ≥ε≥Pmax
n≤j<nj
–α|Xj| ≥ε
≥P
max
n≤j<n|Xj| ≥(n)
αε
≥ –Pmax
n≤j<nXj< (n)
αε= –E n–
j=n
IXj< (n)αε
≥ –
n–
j=n
PXj< (n)αε
= –
n–
j=n
–PXj≥(n)αε
≥ –exp
–
n–
j=n
PXj≥(n)αε
By (.), we havelimn→∞j=nn–P(Xj≥(n)αε) = ,∀ε> . Therefore, whennis large enough, we have
Pmax n≤j<nj
–α|Xj| ≥ε≥ – – n–
j=n
PXj≥(n)αε
+
n–
j=n
PXj≥(n)αε
≥C n–
j=n
PXj≥(n)αε
, ∀ε> .
In a similar way, whennis large enough,
P
max n≤j<nj
–α|Xj| ≥ε≥C n–
j=n
P–Xj≥(n)αε
, ∀ε> .
Thus, whennis large enough, we have
P
max n≤j<nj
–α|Xj| ≥ε≥C n–
j=n
P|Xj| ≥(n)αε≥
CnP|X| ≥(n)αε, ∀ε> . (.)
Takingε= –α, by (.), (.), Lemma ., and a standard computation, we have
∞> ∞
n=
nαp–h(n)P
sup j≥nj
–α|Xj| ≥–α≥
∞
n=
nαp–h(n)P
max n≤j<nj
–α|Xj| ≥–α
≥C
∞
n=
nαp–h(n)P|X| ≥nα
≥CE|X|ph|X|α.
Thus, (.) holds.
In the following, let{τn,n≥}be a sequence of non-negative, integer valued random variables andτ a positive random variable. All random variables are defined on the same probability space.
Theorem . Letα > /, p> , αp> and h(x) > be a slowly varying function as x→+∞.Let{Xn,n≥} be a sequence of NOD random variables and X be a random variables possibly defined on a different space satisfying the condition(.)and(.). More-over,additionally assume that forα≤,EXn= for all n≥.If there existsλ> such that
∞
n=nαp–h(n)P( τn
n <λ) <∞,then
∞
n=
nαp–h(n)P|Sτn| ≥ετnα<∞, ∀ε> . (.)
Proof Note that
|Sτn| ≥ετnα⊆(τn/n<λ)∪|Sτn| ≥ετ
α
n,τn≥λn
⊆(τn/n<λ)∪
sup j≥λn
j–α|Sj| ≥ε
.
Theorem . Letα> /,p> ,αp> and h(x)be a slowly varying function at infin-ity. Let {Xn,n≥}be a sequence of NOD random variables and X be a random vari-ables possibly defined on a different space satisfying the condition(.)and(.).Moreover,
additionally assume that forα≤,EXn= for all n≥.If there existsθ > such that
∞
n=nαp–h(n)P(| τn
n –τ|>θ) <∞with P(τ≤B) = for some B> ,then
∞
n=
nαp–h(n)P|Sτn| ≥εnα<∞, ∀ε> . (.)
Proof Note that
|Sτn| ≥εnα⊆τn n –τ
>θ
∪
|Sτn| ≥εnα,τn n –τ
≤θ
⊆τn
n –τ >θ
∪|Sτn| ≥εnα,τn≤(τ+θ)n
⊆τn
n –τ >θ
∪|Sτn| ≥εnα,τ
n≤(B+θ)n
⊆τn
n –τ >θ
∪ max
≤j≤(B+θ)n|Sj| ≥εn
α
.
Thus, by (.) of Theorem ., we have (.).
Competing interests
The authors declare that they have no competing interests.
Authors’ contributions
All authors contributed equally to the writing of this paper. All authors read and approved the final manuscript.
Author details
1School of Mathematics and Statistics, Guangdong University of Finance and Economics, Guangzhou, 510320, P.R. China. 2College of Science, Guilin University of Technology, Guilin, 541004, P.R. China.3Department of Mathematics, Jinan
University, Guangzhou, 510630, P.R. China.
Acknowledgements
The authors would like to thank the referees and the editors for the helpful comments and suggestions. This work was supported by the National Natural Science Foundation of China (Grant No. 11271161).
Received: 14 November 2013 Accepted: 26 March 2014 Published:09 Apr 2014
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