Stable limits for sums of dependent infinite variance random variables

DOI10.1007/s00440-010-0276-9zbMath1231.60017arXiv0906.2717OpenAlexW2145511721MaRDI QIDQ718889

Katarzyna Bartkiewicz, Adam Jakubowski, Olivier Wintenberger, Thomas Mikosch

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2717

zbMATH Keywords

weak convergenceregular variationcharacteristic functionmixingGARCHARMA processstationary sequenceweak dependencestochastic volatility modelstable limit distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

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