Asymptotic of spectral covariance for linear random fields with infinite variance
Probability
2016-01-18 v1
Abstract
In the paper we continue to investigate measures of dependence for random variables with infinite variance. The asymptotic of spectral covariance for linear random field with special form of filter and with innovations having infinite second moment is investigated. Different behavior of is obtained in the cases and , the latter case being much more complicated.
Keywords
Cite
@article{arxiv.1601.03911,
title = {Asymptotic of spectral covariance for linear random fields with infinite variance},
author = {Julius Damarackas and Vygantas Paulauskas},
journal= {arXiv preprint arXiv:1601.03911},
year = {2016}
}