On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes
Probability
2022-10-11 v3 Statistics Theory
Statistics Theory
Abstract
Marcinkiewicz strong law of large numbers, almost surely with , are developed for products , where the are two-sided linear processes with coefficients and i.i.d. zero-mean innovations . The decay of the coefficients as , can be slow enough for to have long memory while can have heavy tails. The long-range dependence and heavy tails for are handled simultaneously and a decoupling property shows the convergence rate is dictated by the worst of long-range dependence and heavy tails, but not their combination. The Marcinkiewicz strong law of large numbers is also extended to the multivariate linear process case.
Keywords
Cite
@article{arxiv.2007.06083,
title = {On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes},
author = {Michael A. Kouritzin and Sounak Paul},
journal= {arXiv preprint arXiv:2007.06083},
year = {2022}
}
Comments
38 pages