Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables.
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Publication:1766072
DOI10.1016/S0304-4149(02)00086-8zbMath1059.60061MaRDI QIDQ1766072
Publication date: 25 February 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
integrability; characteristic function; linear process; heavy-tailed distribution; stationary distribution; sum of independent random variables
60G10: Stationary stochastic processes
60E10: Characteristic functions; other transforms
60G50: Sums of independent random variables; random walks
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