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
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