A functional limit theorem for dependent sequences with infinite variance stable limits

DOI10.1214/11-AOP669zbMath1295.60041arXiv1001.1345MaRDI QIDQ690870

Johan Segers, Danijel Krizmanić, Bojan Basrak

Publication date: 29 November 2012

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

Full work available at URL: https://arxiv.org/abs/1001.1345

zbMATH Keywords

regular variationstochastic volatilityconvergence in distributionpoint processmixingGARCHfunctional limit theoreminfinite variancepartial sumstable processmoving averagestable limitsdependence sequencespectral process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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