Nonstandard limit theorem for infinite variance functionals
Sly, Allan ; Heyde, Chris
Ann. Probab., Tome 36 (2008) no. 1, p. 796-805 / Harvested from Project Euclid
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range dependence, the limit is α-stable Lévy motion. For the critical value of the long-range dependence parameter, the limit is a sum of a Hermite process and α-stable Lévy motion.
Publié le : 2008-03-15
Classification:  Fractional Brownian motion,  long-range dependence,  stable law,  hypercontractivity,  60G15,  60G17,  60G18
@article{1204306968,
     author = {Sly, Allan and Heyde, Chris},
     title = {Nonstandard limit theorem for infinite variance functionals},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 796-805},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1204306968}
}
Sly, Allan; Heyde, Chris. Nonstandard limit theorem for infinite variance functionals. Ann. Probab., Tome 36 (2008) no. 1, pp.  796-805. http://gdmltest.u-ga.fr/item/1204306968/