Stable limits of sums of bounded functions of long memory moving averages with finite variance

DOI10.3150/BJ/1082380222zbMath1076.62017OpenAlexW2055360970MaRDI QIDQ1769779

Donatas Surgailis

Publication date: 30 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1082380222

zbMATH Keywords

long memorypartial sums processfractional derivativestable Lévy processHermite processmoving-average processAppell rank

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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