A note on linear processes with tapered innovations

DOI10.1007/S10986-019-09445-WzbMATH Open1457.60080arXiv1905.01891OpenAlexW2964868420WikidataQ127407959 ScholiaQ127407959MaRDI QIDQ779839FDOQ779839

Authors: V. Paulauskas 

Publication date: 14 July 2020

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

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.

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

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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)

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Cited In (7)

• Limit theorems for trawl processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• 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
• Erratum to: ``A note on linear processes with tapered innovations
• Stable limits for associated regularly varying sequences
• Limit theorems for linear processes with tapered innovations and filters

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