Acta mathematica scientia,Series A ›› 2013, Vol. 33 ›› Issue (4): 787-792.

• Articles • Previous Articles    

Asymptotic Behavior of Moving Average Processes Associated to Heavy-Tailed Distributions

 LI Wei, GAN Shi-Xin   

  1. College of Computation Science, Zhongkai University of Agriculture and Engineering, Guangzhou |510225; College of Mathematics and Statistics, Wuhan University, Wuhan |430072
  • Received:2011-12-19 Revised:2012-11-04 Online:2013-08-25 Published:2013-08-25
  • Supported by:

    国家自然科学基金(11271161)资助

Abstract:

We present an integral test that determines the limiting behavior of moving average processes of independent identically distributed random variables belonging to the domain of a stable law, and deduce a version of Chover's law of the
iterated logarithm.

Key words: Law of the iterated logarithm, Integral test, Domain of attraction of a stable law

CLC Number: 

  • 60F15
Trendmd