Stable limits of empirical processes of moving averages with infinite variance.

DOI10.1016/S0304-4149(02)00103-5zbMath1059.60044MaRDI QIDQ1766034

Donatas Surgailis

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

functional limit theoreminfinite variancemoving average processempirical processLévy process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Related Items (20)

Nonparametric regression under dependent errors with infinite variance ⋮ Some remarks on definitions of memory for stationary random processes and fields ⋮ On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes ⋮ A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages ⋮ On linear models with long memory and heavy-tailed errors ⋮ Nonparametric quantile regression with heavy-tailed and strongly dependent errors ⋮ Limit theorems for functionals of long memory linear processes with infinite variance ⋮ Function-indexed empirical processes based on an infinite source Poisson transmission stream ⋮ Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences ⋮ Nonstandard limit theorem for infinite variance functionals ⋮ Stable limits of sums of bounded functions of long memory moving averages with finite variance ⋮ On limit theory for functionals of stationary increments Lévy driven moving averages ⋮ \(M\)-estimation of linear models with dependent errors ⋮ M-estimation in nonparametric regression under strong dependence and infinite variance ⋮ Nonparametric density estimation for linear processes with infinite variance ⋮ Asymptotic results for the empirical process of stationary sequences ⋮ On the effect of long-range dependence on extreme value copula estimation with fixed marginals ⋮ Random coefficient autoregression, regime switching and long memory ⋮ Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence ⋮ Weak convergence of the empirical process of intermittent maps in 𝕃² under long-range dependence

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