Functional limit theorems for linear processes in the domain of attraction of stable laws
Marta Tyran-Kaminska
TL;DR
This paper investigates the asymptotic behavior of linear processes with dependent, heavy-tailed innovations, establishing functional limit theorems in the context of stable laws.
Contribution
It extends functional limit theorems to linear processes with dependent innovations in the domain of attraction of stable laws, considering short memory.
Findings
Established functional limit theorems for dependent heavy-tailed innovations
Characterized the limiting processes in the domain of attraction of stable laws
Extended classical results to dependent and infinite variance settings
Abstract
We study functional limit theorems for linear type processes with short memory under the assumption that the innovations are dependent identically distributed random variables with infinite variance and in the domain of attraction of stable laws.
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