Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise

DOI10.1239/JAP/1143936257zbMATH Open1097.62082OpenAlexW2048851037MaRDI QIDQ5489003FDOQ5489003

Authors: Rafał Kulik 

Publication date: 25 September 2006

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936257

Recommendations

• Limit theorems for moving averages of discretized processes plus noise
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• Functional convergence for moving averages with heavy tails and random coefficients
• Limit theorems for the discount sums of moving averages
• On the Rate of Approximation in Limit Theorems for Sums of Moving Averages
• Limit theory for the sample covariance and correlation functions of moving averages

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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• Implicit renewal theory and tails of solutions of random equations
• Strict stationarity of generalized autoregressive processes
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Limit theory for bilinear processes with heavy-tailed noise
• Moving averages with random coefficients and random coefficient autoregressive models
• Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• A test for nonlinearity of time series with infinite variance
• Poisson limits for \(U\)-statistics.
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Cited In (21)

• Limiting behaviors of linear processes with random coefficients based on m-ANA random variables
• Convergence rates in the law of large numbers for END linear processes with random coefficients
• Limiting behavior of randomly weighted averages of symmetric heavy-tailed random variables
• Complete moment convergence for the dependent linear processes with random coefficients
• Maxima of linear processes with heavy-tailed innovations and random coefficients
• Regular variation of infinite series of processes with random coefficients
• On the Rate of Approximation in Limit Theorems for Sums of Moving Averages
• Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
• Topological crackle of heavy-tailed moving average processes
• Limit theory for bilinear processes with heavy-tailed noise
• Hidden regular variation of moving average processes with heavy-tailed innovations
• Title not available (Why is that?)
• Functional convergence for moving averages with heavy tails and random coefficients
• Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence
• Convergence of asymptotically almost negatively associated random variables with random coefficients
• Convergence of point processes with weakly dependent points
• A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
• Limit theorems for a correlated moving window model
• A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations
• Convergence of asymptotically negatively associated random variables with random coefficients
• Tail behavior for nonstationary moving averages with random coefficients

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