Limit theorems for linear random fields with innovations in the domain of attraction of a stable law

2021/09/08 by Magda Peligrad, Hailin Sang, Peligrad, Magda +5
Decision Sciences · Mathematics · Economics, Econometrics and Finance · #Probability and Risk Models #Stochastic processes and statistical mechanics #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2109.03688

Abstract

In this paper we study the convergence in distribution and the local limit theorem for the partial sums of linear random fields with i.i.d. innovations that have infinite second moment and belong to the domain of attraction of a stable law with index 0

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