Variance of partial sums of stationary sequences
Probability
2013-10-22 v2
Abstract
Let be a centred sequence of weakly stationary random variables with spectral measure and partial sums . We show that is regularly varying of index at infinity, if and only if is regularly varying of index at the origin ().
Cite
@article{arxiv.1205.4172,
title = {Variance of partial sums of stationary sequences},
author = {George Deligiannidis and Sergey Utev},
journal= {arXiv preprint arXiv:1205.4172},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AOP772 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)