THE INTEGRATED PERIODOGRAM FOR STABLE PROCESSES

Authors
KLUPPELBERG C MIKOSCH T
Citation
C. Kluppelberg et T. Mikosch, THE INTEGRATED PERIODOGRAM FOR STABLE PROCESSES, Annals of statistics, 24(5), 1996, pp. 1855-1879
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
24
Issue
5
Year of publication
1996
Pages
1855 - 1879
Database
ISI
SICI code
0090-5364(1996)24:5<1855:TIPFSP>2.0.ZU;2-D
Abstract
We study the asymptotic behavior of the integrated periodogram for alp ha-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 resul ts to investigate some specific goodness-of-fit tests for heavy-tailed linear processes.