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Functional limit theorems for linear processes in the domain of attraction of stable laws

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  • Tyran-Kaminska, Marta

Abstract

We study functional limit theorems for linear type processes with short memory under the assumption that the innovations are dependent identically distributed random variables with infinite variance and in the domain of attraction of stable laws.

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  • Tyran-Kaminska, Marta, 2010. "Functional limit theorems for linear processes in the domain of attraction of stable laws," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 975-981, June.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:11-12:p:975-981
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    References listed on IDEAS

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    1. Basrak, B. & Krizmanic, D. & Segers, J., 2010. "A functional limit theorem for partial sums of dependent random variables with infinite variance," LIDAM Discussion Papers ISBA 2010001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Moon, H.J., 2008. "The functional CLT for linear processes generated by mixing random variables with infinite variance," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2095-2101, October.
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