Convergence to Lévy stable processes under some weak dependence conditions

By Marta Tyran-Kamińska. 2009

60 citations recorded by the source corpus.

Abstract For a strictly stationary sequence of random vectors in R d we study convergence of partial sum processes to a Levy stable process in the Skorohod space with J 1 -topology. We identify necessary and sufficient conditions for such convergence and provide sufficient conditions when the stationary sequence is strongly mixing.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/f376fad0e480713fe52e8288810a9c942bbca629

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Johan Segers
2. Danijel Krizmani'c
3. Bojan Basrak
4. Thomas Mikosch
5. A. C. Davison
6. Richard A. Davis
7. Jean-David Fermanian
8. Raphaël Huser

In Mathematical Physics

1. Johan Segers
2. Danijel Krizmani'c
3. Bojan Basrak

Citations in the corpus

• A functional limit theorem for dependent sequences with infinite variance stable limits (2010, methodology): “For stationary sequences, this question was studied by Leadbetter and Rootzén [31] and Tyran-Kamińska [48].”