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Please use this identifier to cite or link to this item: http://hdl.handle.net/1813/29996
Title: Functional Central Limit Theorem for Heavy Tailed Stationary Infinitely Divisible Processes Generated by Conservative Flows
Authors: Owada, Takashi
Samorodnitsky, Gennady
Keywords: infinitely divisible process
conservative flow
central limit theorem
self-similar process
pointwise dual ergodicity
Darling-Kac theorem
Issue Date: 18-Sep-2012
Abstract: We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying Levy measures. The limit process is a new class of symmetric stable self-similar processes with stationary increments, that coincides on a part of its parameter space with a previously described process. The normalizing sequence and the limiting process are determined by the ergodic theoretical properties of the flow underlying the integral representation of the process. These properties can be interpreted as determining how long is the memory of the stationary infinitely divisible process. We also establish functional convergence, in a strong distributional sense, for conservative pointwise dual ergodic maps preserving an infinite measure.
URI: http://hdl.handle.net/1813/29996
Appears in Collections:ORIE Technical Reports

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