Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution

Details Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution

2010-07-04

arxiv.org/abs/1007.0576v1

Mathematics

Probability

77 pages, 1 figure

Scientific paper

We prove some invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of the fractional L\'evy processes. The technique used is interesting in itself; it extends an older idea of splitting a sample into a central part and an extreme one, analyzing each part with different techniques, and then combining the results. This technique seems to have the potential to be useful in other problems in the domain of nonGaussian stable distributions.

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