A limit theorem for sums of bounded functionals of linear processes without finite mean

• Autorzy: Honda T.
• Języki publikacji: EN

Abstrakty

EN

We consider the partial sum process of a bounded functional of a linear process and the linear process has no finite mean. We assume the innovations of the linear process are independent and identically distributed and that the distribution of the innovations belongs to the domain of attraction of an α-stable law and satisfies some additional assumptions. Then we establish the finite-dimensional convergence in distribution of the partial sum process to a stable Lévy motion.

Słowa kluczowe

EN

linear process; martingale; stable law; stable Lévy motion

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 2
• Strony: 337--351
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Honda T.

• Graduate School of Economics, Hitotsubashi University Kunitachi, Tokyo 186-8601, Japan

Bibliografia

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