Stable limits for sums of dependent infinite variance random variables

DOI10.1007/s00440-010-0276-9zbMath1231.60017arXiv0906.2717MaRDI QIDQ718889

Katarzyna Bartkiewicz, Adam Jakubowski, Olivier Wintenberger, Thomas Mikosch

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2717

zbMATH Keywords

weak convergence; regular variation; characteristic function; mixing; GARCH; ARMA process; stationary sequence; weak dependence; stochastic volatility model; stable limit distribution

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

60G52: Stable stochastic processes

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