Abstract:
We consider a linear process Xt=∑∞j=0ajεt−j, t⩾1, where εi, i∈Z, are independent identically distributed random variables in the domain of attraction of a stable law with index α, 0<α⩽2, α≠1. Under some conditions on random variables εi and coefficients aj, we look for bounds in approximation of distribution of sums Sn=B−1n∑nt=1Xt by an appropriate stable law. The obtained bounds have optimal order with respect to n.
Keywords:
linear processes, stable laws, accuracy of approximation.
Citation:
V. I. Paulauskas, D. Surgailis, “On the rate of approximation in limit theorems for sums of moving averages”, Teor. Veroyatnost. i Primenen., 52:2 (2007), 405–414; Theory Probab. Appl., 52:2 (2008), 361–370
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\by V.~I.~Paulauskas, D.~Surgailis
\paper On the rate of approximation in limit theorems for sums of moving averages
\jour Teor. Veroyatnost. i Primenen.
\yr 2007
\vol 52
\issue 2
\pages 405--414
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\jour Theory Probab. Appl.
\yr 2008
\vol 52
\issue 2
\pages 361--370
\crossref{https://doi.org/10.1137/S0040585X97983092}
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Linking options:
https://www.mathnet.ru/eng/tvp185
https://doi.org/10.4213/tvp185
https://www.mathnet.ru/eng/tvp/v52/i2/p405
This publication is cited in the following 3 articles:
Owada T. Samorodnitsky G., “Functional Central Limit Theorem For Heavy Tailed Stationary Infinitely Divisible Processes Generated By Conservative Flows”, Ann. Probab., 43:1 (2015), 240–285
Mielkaitis E., Paulauskas V., “Rates of convergence in the CLT for linear random fields”, Lith. Math. J., 51:2 (2011), 233–250
Paulauskas V., “On the rate of convergence to bivariate stable laws”, Lith. Math. J., 49:4 (2009), 426–445