Limit theory for the sample autocovariance for heavy-tailed stationary infinitely divisible processes generated by conservative flows

DOI10.1007/s10959-014-0565-9zbMath1336.60047arXiv1302.0058OpenAlexW2035603697MaRDI QIDQ270200

Takashi Owada

Publication date: 7 April 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0058

zbMATH Keywords

heavy tailsstationaritylimit theoremsinfinitely divisible processesconservative flowDarling-Kac theorempointwise dual ergodicitysample autocovariance

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Stable stochastic processes (60G52) Nonsingular (and infinite-measure preserving) transformations (37A40)

Related Items (7)

Limit theorems for conservative flows on multiple stochastic integrals ⋮ A functional non-central limit theorem for multiple-stable processes with long-range dependence ⋮ Extreme value theory for long-range-dependent stable random fields ⋮ Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey ⋮ Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments ⋮ Limit theorems for long-memory flows on Wiener chaos ⋮ Extremal theory for long range dependent infinitely divisible processes

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