On the Asymptotic Distributions of Partial Sums of Functionals of
		 Infinite-Variance Moving Averages

Hsing, Tailen

On the Asymptotic Distributions of Partial Sums of Functionals of Infinite-Variance Moving Averages

Hsing, Tailen

Ann. Probab., Tome 27 (1999) no. 1, p. 1579-1599 / Harvested from Project Euclid

Résumé

This paper investigates the asymptotic distribution of the partial sum, $S_N=\sum_{n=1}^N [K(X_n)-EK(X_n)]$, as $N \to \infty$, where ${X_n}$ is a moving average stable process and $K$ is a bounded and measurable function. The results show that $S_N$ follows a central or non-central limit theorem depending on the rate at which the moving average coefficients tend to 0.

Publié le : 1999-07-14
Classification: Central and noncentral limit theorems, 60F05.

@article{1022677460,
     author = {Hsing, Tailen},
     title = {On the Asymptotic Distributions of Partial Sums of Functionals of
		 Infinite-Variance Moving Averages},
     journal = {Ann. Probab.},
     volume = {27},
     number = {1},
     year = {1999},
     pages = { 1579-1599},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1022677460}
}

Hsing, Tailen. On the Asymptotic Distributions of Partial Sums of Functionals of
		 Infinite-Variance Moving Averages. Ann. Probab., Tome 27 (1999) no. 1, pp.  1579-1599. http://gdmltest.u-ga.fr/item/1022677460/