Minimal conditions in p-stable limit theorems -- II
A p-stable limit theorem holds for partial sums Sn of a stationary sequence, if Sn/Bn --> g[mu] for some 1/p-regularly varying sequence and some non-denegerate strictly p-stable law [mu]. The case 0 < p < 2 is investigated in detail and simplified necessary and sufficient conditions are given. The conditions consist of a mixing condition and polynomial large deviations for each tail (with a minor additional condition for p = 1). Methods of proving such large deviation results are discussed for [psi]-mixing, m-dependent, [phi]-mixing and associated sequences.
Year of publication: |
1997
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Authors: | Jakubowski, Adam |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 68.1997, 1, p. 1-20
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Publisher: |
Elsevier |
Keywords: | Stable distributions Regular variation Stable limit theorems Large deviations Stationary sequences [psi]-mixing [phi]-mixing m-dependence Association |
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