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Browsing ORIE Technical Reports by Subject "empirical spectral distribution"
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Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady (2009-08-04)In this paper we study the weak convergence of the integrated periodogram indexed by classes of functions for linear and stochastic volatility processes with symmetric alpha-stable noise. Under suitable summability conditions ...