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A limit theorem for moving averages in the α-stable domain of attraction

In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index α strictly between 0 and 2 satisfy the functional limit theorem. They also conjectured that an equivalent statement holds under a certain less restrictive assumption on the coefficients, but in a different topology on the space of càdlàg functions. We give a proof of this result.
Year of publication:
2014
Authors: Basrak, Bojan ; Krizmanić, Danijel
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1070-1083
Publisher: Elsevier
Subject: Functional limit theorem | Regular variation | Stable Lévy process | M2 topology | Moving average process
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011065099
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