Limit theorems for moving averages with random coefficients and heavy-tailed noise
R Kulik - Journal of applied probability, 2006 - cambridge.org
Journal of applied probability, 2006•cambridge.org
We consider a stationary moving average process with random coefficients,, generated by
an array,{Ct, k, t∈ Z, k≥ 0}, of random variables and a heavy-tailed sequence,{Zt, t∈ Z}. We
analyze the limit behavior using a point process analysis. As applications of our results we
compare the limiting behavior of the moving average process with random coefficients with
that of a standard MA (∞) process.
an array,{Ct, k, t∈ Z, k≥ 0}, of random variables and a heavy-tailed sequence,{Zt, t∈ Z}. We
analyze the limit behavior using a point process analysis. As applications of our results we
compare the limiting behavior of the moving average process with random coefficients with
that of a standard MA (∞) process.
We consider a stationary moving average process with random coefficients, , generated by an array, {Ct,k, t ∈ Z, k ≥ 0}, of random variables and a heavy-tailed sequence, {Zt, t ∈ Z}. We analyze the limit behavior using a point process analysis. As applications of our results we compare the limiting behavior of the moving average process with random coefficients with that of a standard MA(∞) process.
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