A note on linear processes with tapered innovations

DOI10.1007/S10986-019-09445-WMaRDI QIDQ779839zbMATH OpenOpenAlexWikidataFDO

Authors V. Paulauskas

Publication date 14 July 2020

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.01891

zbMATH Keywords

limit theoremsrandom linear processestapered distributions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Stochastic processes (60G99)

Abstract: In the paper we consider the partial sum process $su{m}_{k=1}^{[nt]}{X}_k^{(n)}$, where $X_k^{(n)},kinZ,nge1,$ is a series of linear processes with innovations having heavy-tailed tapered distributions with tapering parameter $b_n$ depending on $n$. It is shown that, depending on the properties of a filter of a linear process under consideration and on the parameter $b_n$ defining if the tapering is hard or soft, the limit process for such partial sum process can be fractional Brownian motion or linear fractional stable motion.

Recommendations

• Limit theorems for linear random fields with tapered innovations. II: The stable case
• Limit theorems for linear random fields with tapered innovations. I: the Gaussian case
• Functional convergence of linear processes with heavy-tailed innovations
• Erratum to: ``A note on linear processes with tapered innovations
• Asymptotics of partial sums of linear processes with changing memory parameter

Cites work

• scientific article; zbMATH DE number 3560401 (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?)
• Discrete-time trawl processes
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Invariance principles for tempered fractionally integrated processes
• Large sample inference for long memory processes
• Limit theorems for sums of linearly generated random variables
• Parameter Estimation for the Truncated Pareto Distribution
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Some remarks on definitions of memory for stationary random processes and fields
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?

Cited in

(7)

• Limit theorems for linear processes with tapered innovations and filters
• Limit theorems for trawl processes
• Limit theorems for linear random fields with tapered innovations. I: the Gaussian case
• Limit theorems for linear random fields with tapered innovations. II: The stable case
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Erratum to: ``A note on linear processes with tapered innovations
• Stable limits for associated regularly varying sequences

This page was built for publication: A note on linear processes with tapered innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q779839)