Nonstandard limit theorem for infinite variance functionals

Details Nonstandard limit theorem for infinite variance functionals Nonstandard limit theorem for infinite variance functionals

2008-04-16

arxiv.org/abs/0804.2588v1

Annals of Probability 2008, Vol. 36, No. 2, 796-805

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AOP345 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of

Scientific paper

10.1214/07-AOP345

We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range dependence, the limit is $\alpha$-stable L\'{e}vy motion. For the critical value of the long-range dependence parameter, the limit is a sum of a Hermite process and $\alpha$-stable L\'{e}vy motion.

Affiliated with

Also associated with

No associations

Rating

Nonstandard limit theorem for infinite variance functionals does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Nonstandard limit theorem for infinite variance functionals, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Nonstandard limit theorem for infinite variance functionals will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-607319