Limit theorems for functionals of long memory linear processes with infinite variance
Probability
2023-09-22 v2
Abstract
Let be a long memory linear process in which the coefficients are regularly varying and innovations are independent and identically distributed and belong to the domain of attraction of an -stable law with . Then, for any integrable and square integrable function on , under certain mild conditions, we establish the asymptotic behavior of the partial sum process as tends to infinity, where is the integer part of for .
Cite
@article{arxiv.2304.02528,
title = {Limit theorems for functionals of long memory linear processes with infinite variance},
author = {Hui Liu and Yudan Xiong and Fangjun Xu},
journal= {arXiv preprint arXiv:2304.02528},
year = {2023}
}