Stable limits of empirical processes of moving averages with infinite variance

Donatas Surgailis

Stochastic Processes and their Applications, vol. 100, issue 1-2, 255-274

Abstract: The paper obtains a functional limit theorem for the empirical process of a stationary moving average process Xt with i.i.d. innovations belonging to the domain of attraction of a symmetric [alpha]-stable law, 1

Keywords: Empirical; process; Moving; average; process; Infinite; variance; Functional; limit; theorem; Lévy; process (search for similar items in EconPapers)
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Citations: View citations in EconPapers (14)

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