• Title of article

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

  • Author/Authors

    Basrak، نويسنده , , Bojan and Krizmani?، نويسنده , , Danijel، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2014
  • Pages
    14
  • From page
    1070
  • To page
    1083
  • Abstract
    In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index α 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 càdlàg functions. We give a proof of this result.
  • Keywords
    Functional limit theorem , Regular variation , Stable Lévy process , M 2 topology , Moving average process
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2014
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1579243