Stable limits for sums of dependent infinite variance random variables

DOI10.1007/S00440-010-0276-9zbMATH Open1231.60017arXiv0906.2717OpenAlexW2145511721MaRDI QIDQ718889FDOQ718889

Katarzyna Bartkiewicz, Adam Jakubowski, Olivier Wintenberger, T. Mikosch

Publication date: 27 September 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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.

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

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zbMATH Keywords

characteristic functionGARCHweak dependenceweak convergencemixingregular variationstochastic volatility modelARMA processstationary sequencestable limit distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)

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Cited In (34)

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