Functional central limit theorem for negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows
Author
Jung, Paul
Owada, Takashi
Samorodnitsky, Gennady
Abstract
We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive dependence could be treated. The negative dependence involves cancellations of the Gaussian second order. This leads to new types of {limiting} processes involving stable random measures, due to heavy tails, Mittag-Leffler processes, due to long memory, and Brownian motions, due to the Gaussian second order cancellations.
Sponsorship
Jung's research was partially supported by NSA grant H98230-14-1-0144. Owada's research was partially supported by URSAT, ERC Advanced Grant 320422. Samorodnitsky's research was partially supported by the ARO
grant W911NF-12-10385 at Cornell University
grant W911NF-12-10385 at Cornell University
Date Issued
2015-04-06
Type
technical report