Nonstandard Limit Theorem for Infinite Variance Functionals
نویسنده
چکیده
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range dependence, the limit is α-stable Lévy motion. For the critical value of the long-range dependence parameter, the limit is a sum of a Hermite process and α-stable Lévy motion.
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