Estimates for Moments of Extreme Values of the Random Process with Ssuperadditive Moment Function
DOI:
https://doi.org/10.20535/1810-0546.2014.4.28220Keywords:
Maximum estimates, Superadditive moment function, The process with orthogonal increments, Quasi-stationary processAbstract
This paper considers the stochastic process with superadditive moment function. The aim is to generalize the results of R. Serfling, which he received for a sequence of random variables with superadditive moment function. We have obtained the estimation for moments of supremum of a random process with the appropriate bounds for moments of this random process. We make no assumptions about the structure of the dependence of increments of a random process, but only the estimation for moments of random process. The estimates for supremum of the stochastic process with orthogonal increments and quasi-stationary process were obtained as a consequence of the main theorem. Also estimates for such random processes were considered under given estimates for moments. The technique of proof relies on the classical method of binary partitions that have been developed for orthogonal series and generalized to quasi-stationary sequences of random variables by R. Serfling. It should be mentioned, that unlike the case of random variables there appears a certain constant in the estimation of stochastic processes, but it has no significant impact on further research.References
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