Pregled bibliografske jedinice broj: 1147368
A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations
A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations // Brazilian Journal of Probability and Statistics, 36 (2022), 1; 138-156 doi:10.1214/21-BJPS520 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1147368 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
A functional limit theorem for moving averages with
weakly dependent heavy-tailed innovations
Autori
Krizmanić, Danijel
Izvornik
Brazilian Journal of Probability and Statistics (0103-0752) 36
(2022), 1;
138-156
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
functional limit theorem ; regular variation ; M2 topology ; moving average process
Sažetak
Recently a functional limit theorem for sums of moving averages with random coefficients and i.i.d. heavy tailed innovations has been obtained under the assumption that all partial sums of the series of coefficients are a.s. bounded between zero and the sum of the series. The convergence takes place in the space D[0, 1] of cadlag functions with the Skorohod M2 topology. In this article we extend this result to the case when the innovations are weakly dependent in the sense of strong mixing and local dependence condition D'.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
HRZZ-IP-2019-04-1239 - Operatori pomaka, statistički zakoni i beskonačno-dimenzionalni dinamički sustavi (TOSLDS) (Dragičević, Davor, HRZZ - 2019-04) ( CroRIS)
NadSve-Sveučilište u Rijeci-uniri-pr-prirod-19-16 - Stohastičke metode u matematičkoj analizi (Krizmanić, Danijel, NadSve - UNIRI-plus projekti 2018) ( CroRIS)
NadSve-Sveučilište u Rijeci-uniri-prirod-18-9 - Metode matematičke analize u teorijskoj i primjenjenoj matematici (Dragičević, Davor, NadSve - UNIRI PROJEKTI 2018) ( CroRIS)
Ustanove:
Sveučilište u Rijeci, Fakultet za matematiku
Profili:
Danijel Krizmanić
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
