Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows

DOI10.1214/13-AOP899zbMATH Open1320.60090arXiv1209.3957MaRDI QIDQ482839FDOQ482839

Authors: Takashi Owada, Gennady Samorodnitsky 

Publication date: 6 January 2015

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

Abstract: We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying L'{e}vy measures. The limit process is a new class of symmetric stable self-similar processes with stationary increments that coincides on a part of its parameter space with a previously described process. The normalizing sequence and the limiting process are determined by the ergodic-theoretical properties of the flow underlying the integral representation of the process. These properties can be interpreted as determining how long the memory of the stationary infinitely divisible process is. We also establish functional convergence, in a strong distributional sense, for conservative pointwise dual ergodic maps preserving an infinite measure.

Full work available at URL: https://arxiv.org/abs/1209.3957

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zbMATH Keywords

functional central limit theoremconservative flowDarling-Kac theorempointwise dual ergodicityself-similar processinverse stable subordinatorinfinitely divisible process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18) Nonsingular (and infinite-measure preserving) transformations (37A40)

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Cited In (27)

• From infinite urn schemes to self-similar stable processes
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