Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction (Q1184101)

\textit{A. V. Skorokhod} [Teor. Veroyatn. Primen 1, 289--319 (1956; Zbl 0074.33802)] introduced four topologies on \(D[0,1]\), called \(J_1\), \(J_2\), \(M_1\) and \(M_2\), and showed in another paper [ibid. 2, 145--177 (1957; Zbl 0097.13001)] that the convergence of normalized and centered sums of independent and identically distributed random variables to an \(\alpha\)-stable Lévy motion, with \(0<\alpha<2\), holds in \(J_1\)-topology. In this paper, the authors show that for sums of moving averages with at least two nonzero coefficients weak-\(J_1\) convergence cannot hold, but if the moving average coefficients are positive, then weak-\(M_1\) convergence may hold. (It is known that although \(M_1\)-topology is weaker than \(J_1\), it is strong enough for the sup and inf functionals to be continuous.).