A characterization of m-dependent stationary infinitely divisible sequences with applications to weak convergence
A characterization of \(m\)-dependent stationary infinitely divisible sequences with applications to weak convergence
The main result of this paper is a characterization of \(m\)-dependent stationary infinitely divisible sequences as some class of generalized average sequences having a particular structure of the associated Lévy measure. This characterization is used to obtain necessary and sufficient conditions for the weak convergence of centered and normalized partial sums of \(m\)-dependent stationary infinitely divisible sequences. Infinite divisibility of an \(m\)-dependent sequence means that all of their finite-dimensional marginals are infinitely divisible random vectors. It should be mentioned that the reviewer [Z. Wahrscheinlichkeitstheorie Verw. Geb. 60, 501--515 (1982; Zbl 0492.60028), Math. Nachr. 127, 193--210 (1986; Zbl 0609.60033) and Serdica 11, 189--199 (1985; Zbl 0582.60031] developed some basic tools to solve this characterization problem as well as to prove weak convergence of partial sums of \(m\)-dependent (not necessarily neither stationary nor infinitely divisible) sequences to a given stable limit.
- \(\alpha\)-stable limit theorems for sums of dependent random vectors
- An algebraic construction of a class of one-dependent processes
- Convergence to a stable distribution via order statistics
- Generalized Poisson distributions as limits of sums for arrays of dependent random vectors
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