Limit theorems for functionals of long memory linear processes with infinite variance

被引：0
|
作者：
Liu, Hui [1 ]
Xiong, Yudan [1 ]
Xu, Fangjun [2 ,3 ]
机构：
[1] East China Normal Univ, Sch Stat, Shanghai 200262, Peoples R China
[2] East China Normal Univ, Sch Stat, KLATASDS MOE, Shanghai 200062, Peoples R China
[3] NYU Shanghai, Inst Math Sci, NYU ECNU, Shanghai 200062, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2024年 / 167卷
基金：
中国国家自然科学基金;
关键词：
Linear process; Long memory; Domain of attraction of stable law; Limit theorem; EMPIRICAL PROCESSES; RANDOM-VARIABLES; MOVING AVERAGES; SUMS;
D O I：
10.1016/j.spa.2023.104237
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let X = {X-n : n is an element of N} be a long memory linear process in which the coefficients are regularly varying and innovations are independent and identically distributed and belong to the domain of attraction of an alpha-stable law with alpha is an element of (0, 2). Then, for any integrable and square integrable function K on R, under certain mild conditions, we establish the asymptotic behavior of the partial sum process {Sigma([Nt])(n=1) [K(X-n) - E K(X-n)] : t >= 0} as N tends to infinity, where [Nt] is the integer part of Nt for t >= 0. (c) 2023 Elsevier B.V. All rights reserved.
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页数：23
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