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Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows

Authors :
Owada, Takashi
Samorodnitsky, Gennady
Source :
Annals of Probability 2015, Vol. 43, No. 1, 240-285
Publication Year :
2012

Abstract

We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying L\'{e}vy measures. The limit process is a new class of symmetric stable self-similar processes with stationary increments that coincides on a part of its parameter space with a previously described process. The normalizing sequence and the limiting process are determined by the ergodic-theoretical properties of the flow underlying the integral representation of the process. These properties can be interpreted as determining how long the memory of the stationary infinitely divisible process is. We also establish functional convergence, in a strong distributional sense, for conservative pointwise dual ergodic maps preserving an infinite measure.<br />Comment: Published in at http://dx.doi.org/10.1214/13-AOP899 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Journal :
Annals of Probability 2015, Vol. 43, No. 1, 240-285
Publication Type :
Report
Accession number :
edsarx.1209.3957
Document Type :
Working Paper
Full Text :
https://doi.org/10.1214/13-AOP899