Functional convergence for moving averages with heavy tails and random coefficients
Probability
2018-08-22 v1
Abstract
We study functional convergence of sums of moving averages with random coefficients and heavy-tailed innovations. Under some standard moment conditions and the assumption that all partial sums of the series of coefficients are a.s. bounded between zero and the sum of the series we obtain functional convergence of the corresponding partial sum stochastic process in the space of c\`{a}dl\`{a}g functions with the Skorohod topology.
Cite
@article{arxiv.1808.07023,
title = {Functional convergence for moving averages with heavy tails and random coefficients},
author = {Danijel Krizmanić},
journal= {arXiv preprint arXiv:1808.07023},
year = {2018}
}
Comments
26 pages