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A limit theorem for moving averages in the $\alpha$-stable domain of attraction (CROSBI ID 199929)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Basrak, Bojan ; Krizmanić, Danijel A limit theorem for moving averages in the $\alpha$-stable domain of attraction // Stochastic processes and their applications, 124 (2014), 2; 1070-1083. doi: 10.1016/j.spa.2013.10.006

Podaci o odgovornosti

Basrak, Bojan ; Krizmanić, Danijel

engleski

A limit theorem for moving averages in the $\alpha$-stable domain of attraction

In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index $\alpha$ strictly between 0 and 2 satisfy the functional limit theorem. They also conjectured that an equivalent statement holds under a certain less restrictive assumption on the coefficients, but in a different topology on the space of cadlag functions. We give a proof of this result.

functional limit theorem ; regular variation ; Stable Levy process ; M_2 topology ; moving average process

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Podaci o izdanju

124 (2)

2014.

1070-1083

objavljeno

0304-4149

1879-209X

10.1016/j.spa.2013.10.006

Povezanost rada

Matematika

Poveznice
Indeksiranost