<p>Let <InlineEquation ID="IEq1"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_IEq1.gif" Format="GIF" Height="19" Rendition="HTML" Resolution="72" Type="Linedraw" Width="138" /> </InlineMediaObject> <EquationSource Format="TEX">\(X=\{X_n: n\in {\mathbb {N}}\}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>X</mi> <mo>=</mo> <mo stretchy="false">{</mo> <msub> <mi>X</mi> <mi>n</mi> </msub> <mo>:</mo> <mi>n</mi> <mo>∈</mo> <mi mathvariant="double-struck">N</mi> <mo stretchy="false">}</mo> </mrow> </math></EquationSource> </InlineEquation> be a linear process in which the coefficients are of the form <InlineEquation ID="IEq2"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_IEq2.gif" Format="GIF" Height="20" Rendition="HTML" Resolution="72" Type="Linedraw" Width="83" /> </InlineMediaObject> <EquationSource Format="TEX">\(a_i=i^{-1}\ell (i)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi>a</mi> <mi>i</mi> </msub> <mo>=</mo> <msup> <mi>i</mi> <mrow> <mo>-</mo> <mn>1</mn> </mrow> </msup> <mi>ℓ</mi> <mrow> <mo stretchy="false">(</mo> <mi>i</mi> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation> with <InlineEquation ID="IEq3"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_IEq3.gif" Format="GIF" Height="14" Rendition="HTML" Resolution="72" Type="Linedraw" Width="12" /> </InlineMediaObject> <EquationSource Format="TEX">\(\ell \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>ℓ</mi> </math></EquationSource> </InlineEquation> being a slowly varying function at the infinity and the innovations are independent and identically distributed random variables belonging to the domain of attraction of an <InlineEquation ID="IEq4"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_IEq4.gif" Format="GIF" Height="10" Rendition="HTML" Resolution="72" Type="Linedraw" Width="14" /> </InlineMediaObject> <EquationSource Format="TEX">\(\alpha \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>α</mi> </math></EquationSource> </InlineEquation>-stable law with <InlineEquation ID="IEq5"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_IEq5.gif" Format="GIF" Height="19" Rendition="HTML" Resolution="72" Type="Linedraw" Width="67" /> </InlineMediaObject> <EquationSource Format="TEX">\(\alpha \in (1, 2]\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>α</mi> <mo>∈</mo> <mo stretchy="false">(</mo> <mn>1</mn> <mo>,</mo> <mn>2</mn> <mo stretchy="false">]</mo> </mrow> </math></EquationSource> </InlineEquation>. We will establish the asymptotic behavior of the partial sum process <Equation ID="Equ18"> <MediaObject> <ImageObject Color="BlackWhite" FileRef="40304_2024_440_Article_Equ18.gif" Format="GIF" Height="54" Rendition="HTML" Resolution="72" Type="Linedraw" Width="130" /> </MediaObject> <EquationSource Format="TEX">\(\begin{aligned} \bigg \{\sum \limits _{n=1}^{[Nt]} X_n: t\ge 0\bigg \} \end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <mrow> <mo maxsize="2.047em" minsize="2.047em" stretchy="true">{</mo> </mrow> <munderover> <mo movablelimits="false">∑</mo> <mrow> <mi>n</mi> <mo>=</mo> <mn>1</mn> </mrow> <mrow> <mo stretchy="false">[</mo> <mi>N</mi> <mi>t</mi> <mo stretchy="false">]</mo> </mrow> </munderover> <msub> <mi>X</mi> <mi>n</mi> </msub> <mo>:</mo> <mi>t</mi> <mo>≥</mo> <mn>0</mn> <mrow> <mo maxsize="2.047em" minsize="2.047em" stretchy="true">}</mo> </mrow> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>as <i>N</i> tends to infinity, where [<i>t</i>] is the integer part of the nonnegative number <i>t</i>.</p>

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A Limit Theorem for Some Linear Processes with Innovations in the Domain of Attraction of a Stable Law

  • Fangjun Xu

摘要

Let \(X=\{X_n: n\in {\mathbb {N}}\}\) X = { X n : n N } be a linear process in which the coefficients are of the form \(a_i=i^{-1}\ell (i)\) a i = i - 1 ( i ) with \(\ell \) being a slowly varying function at the infinity and the innovations are independent and identically distributed random variables belonging to the domain of attraction of an \(\alpha \) α -stable law with \(\alpha \in (1, 2]\) α ( 1 , 2 ] . We will establish the asymptotic behavior of the partial sum process \(\begin{aligned} \bigg \{\sum \limits _{n=1}^{[Nt]} X_n: t\ge 0\bigg \} \end{aligned}\) { n = 1 [ N t ] X n : t 0 } as N tends to infinity, where [t] is the integer part of the nonnegative number t.