Spectral covariance and limit theorems for random fields with infinite variance

Julius Damarackas and Vygantas Paulauskas

Journal of Multivariate Analysis, 2017, vol. 153, issue C, 156-175

Abstract: In the paper, we continue to investigate measures of dependence for random variables with infinite variance. For random variables with regularly varying tails, we introduce a general class of such measures, which includes the codifference and the spectral covariance. In particular, we investigate the α-spectral covariance, a new measure from this general class, for linear random fields with infinite second moment. Under some conditions on the filter of a linear random field, we investigate asymptotic properties of the α-spectral covariance for linear random fields with infinite variance. We also provide an application of spectral covariances for limit theorems for stationary and associated random fields with infinite variance.

Keywords: Stable random vectors; Measures of dependence; Random linear fields (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2016.09.013

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