Convergence to Lévy stable processes under some weak dependence conditions

Marta Tyran-Kaminska

Stochastic Processes and their Applications, 2010, vol. 120, issue 9, 1629-1650

Abstract: For a strictly stationary sequence of random vectors in we study convergence of partial sum processes to a Lévy stable process in the Skorohod space with J1-topology. We identify necessary and sufficient conditions for such convergence and provide sufficient conditions when the stationary sequence is strongly mixing.

Keywords: Lévy; stable; processes; Poisson; point; processes; Functional; limit; theorem; Skorohod; topology; Strong; mixing (search for similar items in EconPapers)
Date: 2010
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