Convergence of point processes with weakly dependent points

DOI10.1007/S10959-008-0176-4MaRDI QIDQ1047155zbMATH OpenOpenAlexFDO

Authors Raluca M. Balan, Sana Louhichi

Publication date 4 January 2010

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.4128

zbMATH Keywords

associationweak limit theoremstochastic volatility modelstrong mixing property

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05)

Abstract: For each $ngeq1$, let ${X_{j,n}}_{1leqjleqn}$ be a sequence of strictly stationary random variables. In this article, we give some asymptotic weak dependence conditions for the convergence in distribution of the point process $N_n=su{m}_{j=1}^{n}delt{a}_{X_{j,n}}$ to an infinitely divisible point process. From the point process convergence, we obtain the convergence in distribution of the partial sum sequence $S_n=su{m}_{j=1}^n{X}_{j,n}$ to an infinitely divisible random variable, whose L'{e}vy measure is related to the canonical measure of the limiting point process. As examples, we discuss the case of triangular arrays which possess known (row-wise) dependence structures, like the strong mixing property, the association, or the dependence structure of a stochastic volatility model.

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Cited in

(14)

• Convergence of randomly oscillating point patterns to the Poisson point process
• On the weak convergence of stochastic processes with embedded point processes
• A convergence criterion for systems of point processes from the convergence of their stochastic intensities
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
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• Weak convergence of mutually independent X_n^Band X_n^Aunder weak convergence of X_n≡X_n^B-X_n^A

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