Functional limit theorem for moving average processes (CROSBI ID 595520)
Prilog sa skupa u zborniku | sažetak izlaganja sa skupa | domaća recenzija
Podaci o odgovornosti
Basrak, Bojan ; Krizmanić, Danijel ; Segers, Johan
engleski
Functional limit theorem for moving average processes
Functional limit theorems have been first obtained for independent and identically distributed random variables with finite second moments. We consider a strictly stationary sequence of random variables with infinite second moments and show that under the properties of weak dependence and regular variation with index bwtween 0 and 2, the corresponding partial sum stochastic process converges in distribution to a stable Levy process in the space D[0, 1] endowed with Skorohod's M1 topology. Here, D[0, 1] is the space of real-valued right continuous functions on [0, 1] with left limits. The limiting process is characterized in terms of its characteristic triple. This result is then applied to moving average processes.
functional limit theorem ; moving average ; regular variation ; mixing ; stable processes
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
Podaci o prilogu
73-73.
2012.
objavljeno
Podaci o matičnoj publikaciji
5th Croatian Mathematical Congress
Crnković, Dean ; Mikulić Crnković, Vedrana, Rukavina, Sanja
Rijeka: Fakultet za matematiku Sveučilišta u Rijeci
978-953-7720-13-1
Podaci o skupu
5th Croatian Mathematical Congress
predavanje
18.06.2012-21.06.2012
Rijeka, Hrvatska