A limit theorem for moving averages in the α-stable domain of attraction

Bojan Basrak and Danijel Krizmanić

Stochastic Processes and their Applications, 2014, vol. 124, issue 2, 1070-1083

Abstract: In the early 1990s, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index α 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 càdlàg functions. We give a proof of this result.

Keywords: Functional limit theorem; Regular variation; Stable Lévy process; M2 topology; Moving average process (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2013.10.006

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