Related papers: A note on linear processes with tapered innovation…

In the paper we consider the partial sum process $\sum_{k=1}^{[nt]}X_k^{(n)}$, where $\{X_k^{(n)}=\sum_{j=0}^{\infty} a_{j}^{(n)}\xi_{k-j}(b(n)), \ k\in \bz\},\ n\ge 1,$ is a series of linear processes with tapered filter…

In the paper we consider the partial sum process $\sum_{k=1}^{[nt]}X_k^{(n)}$, where $\{X_k^{(n)}=\sum_{j=0}^{\infty} a_{j}^{(n)}\xi_{k-j}(b(n)), \ k\in \bz\},\ n\ge 1,$ is a series of linear processes with tapered filter…

We study convergence in law of partial sums of linear processes with heavy-tailed innovations. In the case of summable coefficients necessary and sufficient conditions for the finite dimensional convergence to an $\alpha$-stable L\'evy…

This paper presents a new approach to the analysis of mixed processes \[X_t=B_t+G_t,\qquad t\in[0,T],\] where $B_t$ is a Brownian motion and $G_t$ is an independent centered Gaussian process. We obtain a new canonical innovation…

Let $X=\{X_n: n\in\mathbb{N}\}$ be a linear process in which the coefficients are of the form $a_i=i^{-1}\ell(i)$ with $\ell$ being a slowly varying function at the infinity and the innovations are independent and identically distributed…

Consider a sequence X_k=\sum_{j=0}^{\infty}c_j\xi_{k-j}, k\geq 1, where c_j, j\geq 0, is a sequence of constants and \xi_j, -\infty <j<\infty, is a sequence of independent identically distributed (i.i.d.) random variables (r.v.s) belonging…

Let $X=\{X_n: n\in\mathbb{N}\}$ 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 $\alpha$-stable law…

In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…

In this article we derive a self-normalized functional limit theorem for strictly stationary linear processes with i.i.d. heavy-tailed innovations and random coefficients under the condition that all partial sums of the series of…

In this paper we analyze a branching process with immigration defined recursively by $X_t=\theta_t\circ X_{t-1}+B_t$ for a sequence $(B_t)$ of i.i.d. random variables and random mappings $ \theta_t\circ x:=\theta_t(x)=\sum_{i=1}^xA_i^{(t)},…

Let $(X_n)_{n\in \mathbb Z}$ be a GARCH process with $E(X_0^4)<\infty$, and let $\mu_n$ denote the distribution of $\frac 1{{\sqrt n}}\sum_{i=1}^n [X_i^2-\mathbb E(X_0^2)]$. We derive a numerical approximation of $\mu_n$ when $x_1,...,x_n$…

We provide a generalization of Theorem 1 in Bartkiewicz, Jakubowski, Mikosch and Wintenberger (2011) in the sense that we give sufficient conditions for weak convergence of finite dimensional distributions of the partial sum processes of a…

We suggest an adaptive version of a partial linearization method for composite optimization problems. The goal function is the sum of a smooth function and a non necessary smooth convex separable function, whereas the feasible set is the…

The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…

We consider the multilinear polynomial-form process \[X(n)=\sum_{1\le i_1<\ldots<i_k<\infty}a_{i_1}\ldots a_{i_k}\epsilon_{n-i_1}\ldots\epsilon_{n-i_k},\] obtained by applying a multilinear polynomial-form filter to i.i.d.\ sequence…

An aggregated model is proposed, of which the partial-sum process scales to the Karlin stable processes recently investigated in the literature. The limit extremes of the proposed model, when having regularly-varying tails, are…

We study convergence properties of sparse averages of partial sums of Fourier series of continuous functions. By sparse averages, we are considering an increasing sequences of integers $n_0 < n_1 < n_2 < ...$ and looking at…

In this paper we study the asymptotic behavior of linear processes having as innovations mean zero, square integrable functions of stationary reversible Markov chains. In doing so we shall preserve the generality of coefficients assuming…

For moving average processes with random coefficients and heavy-tailed innovations that are weakly dependent in the sense of strong mixing and local dependence condition $D'$ we study joint functional convergence of partial sums and maxima.…

We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…