Stable limits for sums of dependent infinite variance random variables
From MaRDI portal
(Redirected from Publication:718889)
Abstract: The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to hold are known in the literature. However, most of these results are qualitative in the sense that the parameters of the limit distribution are expressed in terms of some limiting point process. In this paper we will be able to determine the parameters of the limiting stable distribution in terms of some tail characteristics of the underlying stationary sequence. We will apply our results to some standard time series models, including the GARCH(1, 1) process and its squares, the stochastic volatility models and solutions to stochastic recurrence equations.
Recommendations
- A functional limit theorem for dependent sequences with infinite variance stable limits
- scientific article; zbMATH DE number 3894165
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Stable limits for associated random variables
Cites work
- scientific article; zbMATH DE number 3866301 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- Asymptotics for linear processes
- Central limit theorem and stable laws for intermittent maps
- Convergence of point processes with weakly dependent points
- Convergence to stable laws for a class of multidimensional stochastic recursions
- Estimation in conditionally heteroscedatic time series models.
- Extremal theory for stochastic processes
- Extreme Value Theory for GARCH Processes
- Extremes and related properties of random sequences and processes
- Extremes of Stochastic Volatility Models
- Handbook of Financial Time Series
- Implicit renewal theory and tails of solutions of random equations
- Large deviation probabilities for sums of heavy-tailed dependent random vectors
- Limit theory for bilinear processes with heavy-tailed noise
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Limit theory for the sample covariance and correlation functions of moving averages
- Markov chains and stochastic stability
- Minimal conditions in \(p\)-stable limit theorems
- Minimal conditions in p-stable limit theorems. II
- Mixing: Properties and examples
- More limit theory for the sample correlation function of moving averages
- On multidimensional domains of attraction for stationary sequences
- On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks
- On the structure of stationary stable processes
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Point process convergence of stochastic volatility processes with application to sample autocorrelation
- Probabilistic Properties of Stochastic Volatility Models
- Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- Regularly varying functions
- Regularly varying multivariate time series
- Stable limit distributions for strongly mixing sequences
- Stable limits for associated random variables
- Stable limits for partial sums of dependent random variables
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- The sample ACF of a simple bilinear process
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- \(\alpha\)-stable limit theorems for sums of dependent random vectors
Cited in
(36)- Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems
- Stable limits for Markov chains via the principle of conditioning
- A note on the normalizing sequences for sums of linear processes in the case of negative memory
- On the Kesten-Goldie constant
- On joint weak convergence of partial sum and maxima processes
- Modeling clusters of extreme values
- Random iteration with place dependent probabilities
- A functional limit theorem for dependent sequences with infinite variance stable limits
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- Limit theorems for the sample mean and sample autocovariances of continuous time moving averages driven by heavy-tailed Lévy noise
- Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- A multivariate functional limit theorem in weak \(M_1\) topology
- Heavy-tailed branching process with immigration
- Convergence to Lévy stable processes under some weak dependence conditions
- A Fourier analysis of extreme events
- Extreme-value asymptotics for affine random walks
- Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables
- A large deviations approach to limit theory for heavy-tailed time series
- Stable sums to infer high return levels of multivariate rainfall time series
- Large deviations for solutions to stochastic recurrence equations under Kesten's condition
- Precise large deviations for dependent regularly varying sequences
- scientific article; zbMATH DE number 1944310 (Why is no real title available?)
- A CLT for martingale transforms with infinite variance
- Relative stability in strictly stationary random sequences
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
- Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric \(\alpha\)-stable processes.
- Tail estimates for stochastic fixed point equations via nonlinear renewal theory
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- A complete convergence theorem for stationary regularly varying multivariate time series
- A bound in the stable \((\alpha)\), \(1 < \alpha \leq 2\), limit theorem for associated random variables with infinite variance
This page was built for publication: Stable limits for sums of dependent infinite variance random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q718889)
