Functional convergence of linear processes with heavy-tailed innovations
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Abstract: We study convergence in law of partial sums of linear processes with heavy-tailed innovations. In the case of summable coefficients necessary and sufficient conditions for the finite dimensional convergence to an -stable L'evy Motion are given. The conditions lead to new, tractable sufficient conditions in the case . In the functional setting we complement the existing results on -convergence, obtained for linear processes with nonnegative coefficients by Avram and Taqqu (1992) and improved by Louhichi and Rio (2011), by proving that in the general setting partial sums of linear processes are convergent on the Skorokhod space equipped with the topology, introduced by Jakubowski (1997).
The authors study the partial sum process of a linear process, especially in the case with heavy-tailed innovations. They give a necessary and sufficient condition for the finite-dimensional convergence of the partial sum process, where the limit is an alpha-stable Lévy motion. To obtain functional convergence, they use the space of càdlàg functions equipped with the \(S\) topology, which is weaker than Skorokhods \(M_1\) or \(J_1\) topology. After discussing convergence in distribution with respect to the \(S\) topology, they state their main result: if the coefficients of a linear process are summable and the distribution of the innovations fulfill some regularity conditions, then the convergence in distribution of the partial sum process with respect to the \(S\) topology follows from the finite-dimensional convergence.
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Cited in
(19)- Invariance principles for tempered fractionally integrated processes
- An invariance principle for sums and record times of regularly varying stationary sequences
- A note on joint functional convergence of partial sum and maxima for linear processes
- Joint functional convergence of partial sums and maxima for linear processes
- New characterizations of the S topology on the Skorokhod space
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- Discrete-time trawl processes
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
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- Maxima of linear processes with heavy-tailed innovations and random coefficients
- Functional convergence for moving averages with heavy tails and random coefficients
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- Limit theorems for functionals of long memory linear processes with infinite variance
- Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
- A note on the normalizing sequences for sums of linear processes in the case of negative memory
- Weak convergence of stochastic integrals on Skorokhod space in Skorokhod's J₁ and M₁ topologies
- A note on linear processes with tapered innovations
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