메뉴 건너뛰기




Volumn 28, Issue 1, 2015, Pages 119-136

A Multivariate Functional Limit Theorem in Weak M1 Topology

Author keywords

Functional limit theorem; Regular variation; Stable L vy process; Weak M1 topology

Indexed keywords


EID: 84882487891     PISSN: 08949840     EISSN: 15729230     Source Type: Journal    
DOI: 10.1007/s10959-013-0510-3     Document Type: Article
Times cited : (11)

References (28)
  • 1
    • 0001643692 scopus 로고
    • Weak convergence of sums of moving averages in the α-stable domain of attraction
    • Avram, F., Taqqu, M.: Weak convergence of sums of moving averages in the α-stable domain of attraction. Ann. Probab. 20, 483–503 (1992)
    • (1992) Ann. Probab , vol.20 , pp. 483-503
    • Avram, F.1    Taqqu, M.2
  • 4
    • 61849184868 scopus 로고    scopus 로고
    • Regularly varying multivariate time series
    • Basrak, B., Segers, J.: Regularly varying multivariate time series. Stoch. Process. Appl. 119, 1055–1080 (2009)
    • (2009) Stoch. Process. Appl , vol.119 , pp. 1055-1080
    • Basrak, B.1    Segers, J.2
  • 5
    • 84872580081 scopus 로고    scopus 로고
    • A functional limit theorem for partial sums of dependent random variables with infinite variance
    • Basrak, B., Krizmanić, D., Segers, J.: A functional limit theorem for partial sums of dependent random variables with infinite variance. Ann. Probab. 40, 2008–2033 (2012)
    • (2012) Ann. Probab , vol.40 , pp. 2008-2033
    • Basrak, B.1    Krizmanić, D.2    Segers, J.3
  • 7
    • 77953082808 scopus 로고    scopus 로고
    • Basic properties of strong mixing conditions. a survey and some open questions
    • Bradley, R.C.: Basic properties of strong mixing conditions. a survey and some open questions. Probab. Surv. 2, 107–144 (2005)
    • (2005) Probab. Surv , vol.2 , pp. 107-144
    • Bradley, R.C.1
  • 8
    • 0011020531 scopus 로고
    • Stable limits for partial sums of dependent random variables
    • Davis, R.A.: Stable limits for partial sums of dependent random variables. Ann. Probab. 11, 262–269 (1983)
    • (1983) Ann. Probab , vol.11 , pp. 262-269
    • Davis, R.A.1
  • 9
    • 0001094957 scopus 로고
    • Point process and partial sum convergence for weakly dependent random variables with infinite variance
    • Davis, R.A., Hsing, T.: Point process and partial sum convergence for weakly dependent random variables with infinite variance. Ann. Probab. 23, 879–917 (1995)
    • (1995) Ann. Probab , vol.23 , pp. 879-917
    • Davis, R.A.1    Hsing, T.2
  • 10
    • 0032264526 scopus 로고    scopus 로고
    • The sample autocorrelations of heavy-tailed processes with applications to ARCH
    • Davis, R.A., Mikosch, T.: The sample autocorrelations of heavy-tailed processes with applications to ARCH. Ann. Statist. 26, 2049–2080 (1998)
    • (1998) Ann. Statist , vol.26 , pp. 2049-2080
    • Davis, R.A.1    Mikosch, T.2
  • 11
    • 38249005646 scopus 로고
    • Stable limit distributions for strongly mixing sequences
    • Denker, M., Jakubowski, A.: Stable limit distributions for strongly mixing sequences. Stat. Probab. Lett. 8, 477–483 (1989)
    • (1989) Stat. Probab. Lett , vol.8 , pp. 477-483
    • Denker, M.1    Jakubowski, A.2
  • 12
    • 0000918549 scopus 로고
    • Functional limit theorems for dependent variables
    • Durrett, R., Resnick, S.I.: Functional limit theorems for dependent variables. Ann. Probab. 6, 829–846 (1978)
    • (1978) Ann. Probab , vol.6 , pp. 829-846
    • Durrett, R.1    Resnick, S.I.2
  • 14
    • 68949221343 scopus 로고    scopus 로고
    • Asymptotic theory for a factor GARCH model
    • Hafner, C.M., Preminger, A.: Asymptotic theory for a factor GARCH model. Econom. Theory 25, 336–363 (2009)
    • (2009) Econom. Theory , vol.25 , pp. 336-363
    • Hafner, C.M.1    Preminger, A.2
  • 15
    • 0010985291 scopus 로고
    • α-stable limit theorems for sums of dependent random vectors
    • Jakubowski, A., Kobus, M.:α-stable limit theorems for sums of dependent random vectors. J. Multivar. Anal. 29, 219–251 (1989)
    • (1989) J. Multivar. Anal , vol.29 , pp. 219-251
    • Jakubowski, A.1    Kobus, M.2
  • 17
    • 2942672026 scopus 로고
    • Random difference equations and renewal theory for products of random matrices
    • Kesten, H.: Random difference equations and renewal theory for products of random matrices. Acta Math. 131, 207–248 (1973)
    • (1973) Acta Math , vol.131 , pp. 207-248
    • Kesten, H.1
  • 20
    • 0038056390 scopus 로고    scopus 로고
    • Convergence of stopped sums of weakly dependent random variables
    • Peligrad, M.: Convergence of stopped sums of weakly dependent random variables. Electron. J. Probab. 4, 1–13 (1999)
    • (1999) Electron. J. Probab , vol.4 , pp. 1-13
    • Peligrad, M.1
  • 21
    • 0007069962 scopus 로고
    • p-invariance principles for sums of B-valued random variables
    • p-invariance principles for sums of B-valued random variables. Ann. Probab. 8, 68–82 (1980)
    • (1980) Ann. Probab , vol.8 , pp. 68-82
    • Phillip, W.1
  • 22
    • 0007067580 scopus 로고
    • p-invariance principles for sums of B-valued random variables
    • p-invariance principles for sums of B-valued random variables”. Ann. Probab. 14, 1095–1101 (1986)
    • (1986) Ann. Probab , vol.14 , pp. 1095-1101
    • Phillip, W.1
  • 26
    • 0000683243 scopus 로고
    • Limit theorems for stochastic processes with independent increments
    • Skorohod, A.V.: Limit theorems for stochastic processes with independent increments. Theory Probab. Appl. 2, 138–171 (1957)
    • (1957) Theory Probab. Appl , vol.2 , pp. 138-171
    • Skorohod, A.V.1
  • 27
    • 77955418389 scopus 로고    scopus 로고
    • Convergence to Léy stable processes under some weak dependence conditions
    • Tyran-Kamińska, M.: Convergence to Léy stable processes under some weak dependence conditions. Stoch. Process. Appl. 120, 1629–1650 (2010)
    • (2010) Stoch. Process. Appl , vol.120 , pp. 1629-1650
    • Tyran-Kamińska, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.