On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes

DOI10.1016/J.SPA.2022.06.021arXiv2007.06083WikidataQ113863834 ScholiaQ113863834MaRDI QIDQ6344930FDOQ6344930

Authors: Michael A. Kouritzin, Sounak Paul

Publication date: 12 July 2020

Abstract: Marcinkiewicz strong law of large numbers,

n^{- f r a c 1 p} s u m_{k = 1}^{n} (d_{k} - d) i g h t a r r o w 0

almost surely with

p i n (1, 2)

, are developed for products

d_{k} = p r o d_{r = 1}^{s} x_{k}^{(r)}

, where the

x_{k}^{(r)} = s u m_{l = - i n f t y}^{i n f t y} c_{k - l}^{(r)} x i_{l}^{(r)}

are two-sided linear processes with coefficients

{c_{l}^{(r)}}_{l i n m a t h b b Z}

and i.i.d. zero-mean innovations

{x i_{l}^{(r)}}_{l i n m a t h b b Z}

. The decay of the coefficients

c_{l}^{(r)}

as

| l | o i n f t y

, can be slow enough for

x_{k}^{(r)}

to have long memory while

d_{k}

can have heavy tails. The long-range dependence and heavy tails for

d_{k}

are handled simultaneously and a decoupling property shows the convergence rate is dictated by the worst of long-range dependence and heavy tails, but not their combination. The Marcinkiewicz strong law of large numbers is also extended to the multivariate linear process case.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Strong limit theorems (60F15)

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