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  5. Functional central limit theorem for negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows

Functional central limit theorem for negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows

File(s)
FCLTNegDep040215.pdf (410.86 KB)
Main article
Permanent Link(s)
https://hdl.handle.net/1813/39288
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ORIE Technical Reports
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
Date Issued
2015-04-06
Keywords
infinitely divisible proces
•
conservative flow
•
Harris recurrent Markov chain
•
functional central limit theorem
•
self-similar process
•
pointwise dual ergodicity
•
Darling-Kac theorem
•
fractional stable motion
Type
technical report

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