An exponential inequality for widely orthant dependent random variables and its application to a first-order autoregressive model
Volume 52 / 2025
Applicationes Mathematicae 52 (2025), 127-144
MSC: Primary 60F15; Secondary 60E15, 62M10
DOI: 10.4064/am2514-2-2025
Published online: 10 October 2025
Abstract
This study develops an exponential inequality for widely orthant dependent random variables. We establish complete convergence and derive a convergence rate of $\mathcal O(1)(\log 2n)^{\frac{\alpha }{1+\alpha }}n^{-\frac{\alpha }{1+\alpha }}$ for the strong law of large numbers, where $0 \lt \alpha \leq 1$. As an application to a linear model, we obtain the strong law of large numbers with a convergence rate of $\mathcal O(1)(\log 2n)^{\frac{2\alpha }{1+\alpha }}n^{-\frac{2\alpha }{1+\alpha }}$, where $0 \lt \alpha \lt 1$. Numerical simulations are provided to illustrate and support the theoretical results.
