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arxiv: 1212.1372 · v1 · pith:D3KURJQXnew · submitted 2012-12-06 · 🧮 math.PR

A limit theorem for moving averages in the α -stable domain of attraction

classification 🧮 math.PR
keywords coefficientslimitmovingtheoremalphaassumptionattractionaverage
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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 c\'adl\'ag functions. We give a proof of this result.

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