A functional non-central limit theorem for multiple-stable processes with long-range dependence

DOI10.1016/J.SPA.2020.04.007MaRDI QIDQ2196387zbMATH OpenOpenAlexFDO

Authors Shuyang Bai, Takashi Owada, Yizao Wang

Publication date 2 September 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.00628

zbMATH Keywords

long-range dependencelocal timemultiple integralheavy-tailed distributioninfinite ergodic theorystable regenerative set

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Abstract: A functional limit theorem is established for the partial-sum process of a class of stationary sequences which exhibit both heavy tails and long-range dependence. The stationary sequence is constructed using multiple stochastic integrals with heavy-tailed marginal distribution. Furthermore, the multiple stochastic integrals are built upon a large family of dynamical systems that are ergodic and conservative, leading to the long-range dependence phenomenon of the model. The limits constitute a new class of self-similar processes with stationary increments. They are represented by multiple stable integrals, where the integrands involve the local times of intersections of independent stationary stable regenerative sets. The joint moments of the local times are computed, which play the key in the proof and are also of independent interest.

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Cited in

(9)

• Joint sum-and-max limit for a class of long-range dependent processes with heavy tails
• Phase transition for extremes of a family of stationary multiple-stable processes
• Functional central limit theorem for a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows
• Limit theorems for conservative flows on multiple stochastic integrals
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• Limit theorems for long-memory flows on Wiener chaos
• Choquet random sup-measures with aggregations

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