Weak Convergence of the function-indexed integrated periodogram for infinite variance processes

S.U. Can, T. Mikosch, G. Samorodnitsky

Research output: Contribution to journalArticleScientificpeer-review

3 Citations (Scopus)
285 Downloads (Pure)

Abstract

In this paper, we study the weak convergence of the integrated periodogram indexed by classes of functions for linear processes with symmetric α-stable innovations. Under suitable summability conditions on the series of the Fourier coefficients of the index functions, we show that the weak limits constitute α-stable processes which have representations as infinite Fourier series with i.i.d. α-stable coefficients. The cases α ∈ (0, 1) and α ∈ [1, 2) are dealt with by rather different methods and under different assumptions on the classes of functions. For example, in contrast to the case α ∈ (0, 1), entropy conditions are needed for α ∈ [1, 2) to ensure the tightness of the sequence of integrated periodograms indexed by functions. The results of this paper are of additional interest since they provide limit results for infinite mean random quadratic forms with particular Toeplitz coefficient matrices.
Original languageEnglish
Pages (from-to)995-1015
JournalBernoulli
Volume16
Issue number4
Publication statusPublished - 2010

Fingerprint Dive into the research topics of 'Weak Convergence of the function-indexed integrated periodogram for infinite variance processes'. Together they form a unique fingerprint.

  • Cite this

    Can, S. U., Mikosch, T., & Samorodnitsky, G. (2010). Weak Convergence of the function-indexed integrated periodogram for infinite variance processes. Bernoulli, 16(4), 995-1015.