LIMIT THEORY FOR BILINEAR PROCESSES WITH HEAVY-TAILED NOISE
成果类型：
Article
署名作者：
Davis, Richard A.; Resnick, Sidney I.
署名单位：
Colorado State University System; Colorado State University Fort Collins; Cornell University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
1996
页码：
1191-1210
关键词：
摘要：
We consider a simple stationary bilinear model X-t = cX(t-1) Z(t-1) + Z(t,) t = 0, +/- 1, +/- 2,..., generated by heavy- tailed noise variables {Z(t)}. A complete analysis of weak limit behavior is given by means of a point process analysis. A striking feature of this analysis is that the sample correlation converges in distribution to a nondegenerate limit. A warning is sounded about trying to detect nonlinearities in heavy-tailed models by means of the sample correlation function.