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Complete moment convergence for the dependent linear processes with application to the state observers of linear-time-invariant systems
C. Lu, X. J. Wang, Y. Wu School of Mathematical Sciences, Anhui University, Hefei, People's Republic of China
Abstract:
Let $X_t=\sum_{j=-\infty}^{\infty}A_j\varepsilon_{t-j}$ be a dependent linear
process, where the $\{\varepsilon_n,\, n\in \mathbf{Z}\}$ is a sequence of zero
mean $m$-extended negatively dependent ($m$-END, for short) random variables
which is stochastically dominated by a random variable $\varepsilon$, and
$\{A_n,\, n\in \mathbf{Z}\}$ is also a sequence of zero mean $m$-END random
variables. Under some suitable conditions, the complete moment convergence for
the dependent linear processes is established. In particular, the sufficient
conditions of the complete moment convergence are provided. As an application,
we further study the convergence of the state observers of linear-time-invariant
systems.
Keywords:
complete moment convergence, END random variables, linear processes, linear-time-invariant systems.
Received: 19.11.2018 Revised: 09.10.2019 Accepted: 26.11.2019
Citation:
C. Lu, X. J. Wang, Y. Wu, “Complete moment convergence for the dependent linear processes with application to the state observers of linear-time-invariant systems”, Teor. Veroyatnost. i Primenen., 65:4 (2020), 725–745; Theory Probab. Appl., 65:4 (2021), 570–587
Linking options:
https://www.mathnet.ru/eng/tvp5273https://doi.org/10.4213/tvp5273 https://www.mathnet.ru/eng/tvp/v65/i4/p725
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