Nonstandard limit theorem for infinite variance functionals
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the longrange dependence is strong enough, the limit is a Hermite process, while for weaker long-range dependence, the limit is α-stable Lévy motion. For the critical value of the long-range dependence parameter, the limit is a sum of a Hermite process and α-stable Lévy motion.
|Collections||ANU Research Publications|
|Source:||The Annals of Probability|
|01_Sly_Nonstandard_limit_theorem_for_2008.pdf||Published Version||123.91 kB||Adobe PDF|
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