The integrated periodogram for stable processes
成果类型：
Article
署名作者：
Kluppelberg, C; Mikosch, T
署名单位：
University of Groningen
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
1996
页码：
1855-1879
关键词：
摘要：
We study the asymptotic behavior of the integrated periodogram for alpha-stable linear processes. For alpha is an element of (1, 2) we prove a functional limit theorem for the integrated periodogram. The limit is an alpha-stable analogue to the Brownian bridge. We apply our results to investigate some specific goodness-of-fit tests for heavy-tailed linear processes.