Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution (Q1934357)

The authors present some invariance principles for generalized FARIMA processes, where the innovations are in the domain of attraction of a non-Gaussian stable distribution of index \(\alpha<2\). The limiting processes will be extensions of certain fractional Lévy processes. The proofs are based on the idea to split samples into central and extremal parts, and to handle both parts by different techniques. The authors expect that the techniques they use in the proofs lead to further limit results in the context of distributions in the domain of attraction of non-Gaussian stable distributions.