2012/12/06 by Bojan Basrak, Basrak, Bojan, Danijel Krizmanić +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR
paper · pdf · doi:10.48550/arxiv.1212.1372
17 pages
arxiv created 2012/12/06 · openalex publication_date 2012/12/06 · arxiv updated 2012/12/07 · openalex created_date 2022/10/03 · openalex updated_date 2026/07/28
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 cádlág functions. We give a proof of this result.