Variance of partial sums of stationary sequences

DOI10.1214/12-AOP772MaRDI QIDQ378818zbMATHOpenAlexFDO

Authors George Deligiannidis, Sergey Utev

Publication date 12 November 2013

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.4172

zbMATH Keywords

long-range dependenceFourier analysistempered distributionsstationary sequences

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Summability and absolute summability of Fourier and trigonometric series (42A24)

Abstract: Let $X_1,X_2,ldots$ be a centred sequence of weakly stationary random variables with spectral measure $F$ and partial sums $S_n=X_1+cdots+X_n$. We show that $operatornamevar(S_n)$ is regularly varying of index $gamma$ at infinity, if and only if $G(x):=in{t}_{-x}^{x}F(mathrmdx)$ is regularly varying of index $2-gamma$ at the origin ($0<gamma<2$).

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Cited in

(5)

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• The variance of partial sums of strong near-epoch dependent variables
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• Moment bounds for non-stationary dependent sequences
• Minimal conditions in \(p\)-stable limit theorems

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