Stable limits of sums of bounded functions of long-memory moving averages with finite variance
Surgailis, Donatas
Bernoulli, Tome 10 (2004) no. 2, p. 327-355 / Harvested from Project Euclid
We discuss limit distributions of partial sums of bounded functions h of a long-memory moving-average process Xt= ∑j=1 bj ζt-j with coefficients bj decaying as j, 1/2< β< 1, and independent and identically distributed innovations ζs whose probability tails decay as x, 2< α< 4. The case of h having Appell rank k*=2 or 3 is discussed in detail. We show that in this case and in the parameter region αβ< 2 , the partial sums process, normalized by N1/αβ , weakly converges to an αβ-stable Lévy process, provided that the normalization dominates the corresponding k* th-order Hermite process normalization, or that 1/αβ> 1 - (2β-1)k*/2. A complete characterization of limit distributions of the partial sums process remains open.
Publié le : 2004-04-14
Classification:  Appell rank,  fractional derivative,  Hermite process,  long memory,  moving-average process,  partial sums process,  stable Lévy process
@article{1082380222,
     author = {Surgailis, Donatas},
     title = {Stable limits of sums of bounded functions of long-memory moving averages with finite variance},
     journal = {Bernoulli},
     volume = {10},
     number = {2},
     year = {2004},
     pages = { 327-355},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1082380222}
}
Surgailis, Donatas. Stable limits of sums of bounded functions of long-memory moving averages with finite variance. Bernoulli, Tome 10 (2004) no. 2, pp.  327-355. http://gdmltest.u-ga.fr/item/1082380222/