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Pregled bibliografske jedinice broj: 1277311

A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations

Krizmanić, Danijel
A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations // Lithuanian Mathematical Journal (2023) (znanstveni, prihvaćen)

CROSBI ID: 1277311 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations

Autori
Krizmanić, Danijel

Vrsta, podvrsta
Radovi u časopisima, znanstveni

Izvornik
Lithuanian Mathematical Journal (2023)

Status rada
Prihvaćen

Ključne riječi
Functional limit theorem ; Regular variation ; M2 topology ; Linear process ; Self-normalized process

Sažetak
In this article we derive a self-normalized functional limit theorem for strictly stationary linear processes with i.i.d. heavy-tailed innovations and random coefficients under the condition that all partial sums of the series of coefficients are a.s. bounded between zero and the sum of the series. The convergence takes part in the space of cadlag functions on [0, 1] with the Skorokhod M2 topology.

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:

Avatar Url Danijel Krizmanić (autor)

Citiraj ovu publikaciju:

Krizmanić, Danijel
A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations // Lithuanian Mathematical Journal (2023) (znanstveni, prihvaćen)
Krizmanić, D. (2023) A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations. Prihvaćen za objavljivanje u Lithuanian Mathematical Journal. [Preprint].
@unknown{unknown, author = {Krizmani\'{c}, Danijel}, year = {2023}, keywords = {Functional limit theorem, Regular variation, M2 topology, Linear process, Self-normalized process}, journal = {Lithuanian Mathematical Journal}, title = {A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations}, keyword = {Functional limit theorem, Regular variation, M2 topology, Linear process, Self-normalized process} }
@unknown{unknown, author = {Krizmani\'{c}, Danijel}, year = {2023}, keywords = {Functional limit theorem, Regular variation, M2 topology, Linear process, Self-normalized process}, journal = {Lithuanian Mathematical Journal}, title = {A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations}, keyword = {Functional limit theorem, Regular variation, M2 topology, Linear process, Self-normalized process} }

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

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