Functional central limit theorem for a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows

DOI10.1214/16-AOP1107MaRDI QIDQ2406558zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 5 October 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.00935, https://projecteuclid.org/euclid.aop/1502438423

zbMATH Keywords

conservative flowDarling-Kac theoremfractional stable motionfunctional central limit theoremHarris recurrent Markov chaininfinitely divisible processpointwise dual ergodicityself-similar process

Mathematics Subject Classification ID

Nonsingular (and infinite-measure preserving) transformations (37A40) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Abstract: We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive dependence could be treated. The negative dependence involves cancellations of the Gaussian second order. This leads to new types of limiting processes involving stable random measures, due to heavy tails, Mittag-Leffler processes, due to long memory, and Brownian motions, due to the Gaussian second order cancellations.

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Cited in

(11)

• Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey
• Stable random fields indexed by finitely generated free groups
• Random walks in doubly random scenery
• Maximal moments and uniform modulus of continuity for stable random fields
• Limit theorems for conservative flows on multiple stochastic integrals
• Limit theorems for long-memory flows on Wiener chaos
• Extremal theory for long range dependent infinitely divisible processes
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• Self-similar stochastic processes with stationary increments as limits of particle systems
• A financial market of a stochastic delay equation
• Phase transition for extremes of a family of stationary multiple-stable processes

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