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Limit theorems for functionals of long memory linear processes with infinite variance

Probability 2023-09-22 v2

Abstract

Let X={Xn:nN}X=\{X_n: n\in\mathbb{N}\} 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 α\alpha-stable law with α(0,2)\alpha\in (0, 2). Then, for any integrable and square integrable function KK on R\mathbb{R}, under certain mild conditions, we establish the asymptotic behavior of the partial sum process {n=1[Nt][K(Xn)\EK(Xn)]:  t0} \left\{\sum\limits_{n=1}^{[Nt]}\big[K(X_n)-\E K(X_n)\big]:\; t\geq 0\right\} as NN tends to infinity, where [Nt][Nt] is the integer part of NtNt for t0t\geq 0.

Keywords

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}
}
R2 v1 2026-06-28T09:51:10.392Z