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This article is cited in 3 scientific papers (total in 3 papers)
Short Communications
On the rate of approximation in limit theorems for sums of moving averages
V. I. Paulauskas, D. Surgailis The Faculty of Mathematics and Informatics, Vilnius University
Abstract:
We consider a linear process $X_t=\sum_{j=0}^\infty a_j\varepsilon_{t-j}$, $t\ge 1$, where $\varepsilon_i$, $i\in Z$, are independent identically distributed random variables in the domain of attraction of a stable law with index $\alpha$, $0<\alpha\le 2$, $\alpha\ne 1$. Under some conditions on random variables $\varepsilon_i$ and coefficients $a_j$, we look for bounds in approximation of distribution of sums $S_n=B_n^{-1}\sum_{t=1}^nX_t$ by an appropriate stable law. The obtained bounds have optimal order with respect to $n$.
Keywords:
linear processes, stable laws, accuracy of approximation.
Received: 04.05.2006
Citation:
V. I. Paulauskas, D. Surgailis, “On the rate of approximation in limit theorems for sums of moving averages”, Teor. Veroyatnost. i Primenen., 52:2 (2007), 405–414; Theory Probab. Appl., 52:2 (2008), 361–370
Linking options:
https://www.mathnet.ru/eng/tvp185https://doi.org/10.4213/tvp185 https://www.mathnet.ru/eng/tvp/v52/i2/p405
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