Stable limits for sums of dependent infinite variance random variables

Katarzyna Bartkiewicz, Adam Jakubowski, Thomas Mikosch, Olivier Wintenberger

38 Citations (Scopus)
Original languageEnglish
JournalProbability Theory and Related Fields
Volume150
Issue number3-4
Pages (from-to)337-372
ISSN0178-8051
DOIs
Publication statusPublished - Aug 2011

Keywords

  • Stationary sequence
  • Stable limit distribution
  • Weak convergence
  • Mixing
  • Weak dependence
  • Characteristic function
  • Regular variation
  • GARCH
  • Stochastic volatility model
  • ARMA process

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