Pregled bibliografske jedinice broj: 667221
A limit theorem for moving averages in the $\alpha$-stable domain of attraction
A limit theorem for moving averages in the $\alpha$-stable domain of attraction // Stochastic processes and their applications, 124 (2014), 2; 1070-1083 doi:10.1016/j.spa.2013.10.006 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 667221 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
A limit theorem for moving averages in the $\alpha$-stable domain of attraction
Autori
Basrak, Bojan ; Krizmanić, Danijel
Izvornik
Stochastic processes and their applications (0304-4149) 124
(2014), 2;
1070-1083
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
functional limit theorem ; regular variation ; Stable Levy process ; M_2 topology ; moving average process
Sažetak
In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index $\alpha$ 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 cadlag functions. We give a proof of this result.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
MZOS-037-0372790-2800 - Statistička analiza slučajnih modela i primjene (Huzak, Miljenko, MZOS ) ( CroRIS)
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb,
Sveučilište u Rijeci, Fakultet za matematiku
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
Uključenost u ostale bibliografske baze podataka::
- MathSciNet
- Zentrallblatt für Mathematik/Mathematical Abstracts
