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On the convergence of LePage series in Skorokhod space

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  • Davydov, Youri
  • Dombry, Clément

Abstract

We consider the problem of the convergence of the so-called LePage series in the Skorokhod space Dd=D([0,1],Rd) and provide a simple criterion based on the moments of the increments of the random process involved in the series. This provides a simple sufficient condition for the existence of an α-stable distribution on Dd with given spectral measure.

Suggested Citation

  • Davydov, Youri & Dombry, Clément, 2012. "On the convergence of LePage series in Skorokhod space," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 145-150.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:1:p:145-150
    DOI: 10.1016/j.spl.2011.09.011
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    References listed on IDEAS

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    1. Davis, Richard A. & Mikosch, Thomas, 2008. "Extreme value theory for space-time processes with heavy-tailed distributions," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 560-584, April.
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