Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
From MaRDI portal
Publication:1184101
DOI10.1214/aop/1176989938zbMath0747.60032OpenAlexW2068608840MaRDI QIDQ1184101
Publication date: 28 June 1992
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176989938
Related Items (51)
Asymptotics of empirical processes of long memory moving averages with infinite variance. ⋮ A unified approach to self-normalized block sampling ⋮ An invariance principle for sums and record times of regularly varying stationary sequences ⋮ Functional convergence of linear processes with heavy-tailed innovations ⋮ Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ A Note on Unit Root Tests with Infinite Variance Noise ⋮ Maxima of linear processes with heavy‐tailed innovations and random coefficients ⋮ A large deviations approach to limit theory for heavy-tailed time series ⋮ On joint weak convergence of partial sum and maxima processes ⋮ Patterns of buffer overflow in a class of queues with long memory in the input stream ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ Trimmed stable AR(1) processes ⋮ Convergence of partial sum processes to Lévy processes for associated sequences ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ A limit theorem for moving averages in the \(\alpha\)-stable domain of attraction ⋮ Marked empirical processes for non-stationary time series ⋮ A Lindeberg-Feller theorem for stable laws ⋮ Unnamed Item ⋮ Functional limit theorems for renewal shot noise processes with increasing response functions ⋮ Joint functional convergence of partial sums and maxima for linear processes ⋮ Convergence to the maximum process of a fractional Brownian motion with shot noise ⋮ Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows ⋮ Non‐stationary autoregressive processes with infinite variance ⋮ Convergence in various topologies for stochastic integrals driven by semimartingales ⋮ Asymptotic independence of distant partial sums of linear processes ⋮ Convergence to a Lévy process in the Skorohod \(\mathcal{M}_1\) and \(\mathcal{M}_2\) topologies for nonuniformly hyperbolic systems, including billiards with cusps ⋮ Editorial: Special issue on time series extremes ⋮ Weak convergence of multivariate partial maxima processes ⋮ Tails of polynomials of random variables and stable limits for nonconventional sums ⋮ A functional limit theorem for dependent sequences with infinite variance stable limits ⋮ Functional limit theorems for linear processes in the domain of attraction of stable laws ⋮ Convergence to Lévy stable processes under some weak dependence conditions ⋮ COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” ⋮ Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory ⋮ On functional limits of short- and long-memory linear processes with GARCH(1,1) noises ⋮ Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments ⋮ Convergence to a-stable Lévy motion for chaotic billiards with several cusps at flat points ⋮ Correlated continuous time random walks ⋮ Stable limits for associated regularly varying sequences ⋮ Portmanteau-type test for unit root with heavy-tailed noise ⋮ Functional convergence for moving averages with heavy tails and random coefficients ⋮ UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS ⋮ A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology ⋮ Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence ⋮ NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS ⋮ Weak convergence to stable Lévy processes for nonuniformly hyperbolic dynamical systems ⋮ A multivariate functional limit theorem in weak \(M_1\) topology ⋮ A uniform law for convergence to the local times of linear fractional stable motions ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE ⋮ Functional weak convergence of partial maxima processes
This page was built for publication: Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction