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arXiv · 1212.1372

A limit theorem for moving averages in the \alpha -stable domain of attraction

Bojan Basrak·Danijel Krizmanić
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Abstract

In the early 1990's, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index strictly between 0 and 2 satisfy functional limit theorem. They also conjectured that an equivalent statement holds under a certain less restrictive assumption on the coefficients, but in a different topology on the space of c\'adl\'ag functions. We give a proof of this result.

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Bojan Basrak, Danijel Krizmanić. 2012-12-06. A limit theorem for moving averages in the \alpha -stable domain of attraction. https://arxiv.org/abs/1212.1372

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