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
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
Journal title :
Stochastic Processes and their Applications