A limit theorem for moving averages in the $\alpha$-stable domain of attraction (CROSBI ID 199929)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
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