This paper analyzes the limit properties of the empirical process of αα-stable random variables with long range dependence. The αα-stable random variables are constructed by non-linear transformations of bivariate sequences of strongly dependent gaussian processes. The approach followed allows an analysis of the empirical process by means of expansions in terms of bivariate Hermite polynomials for the full range 0<2. A weak uniform reduction principle is provided and it is shown that the limiting process is gaussian. The results of the paper differ substantially from those available for empirical processes obtained by stable moving averages with long memory. An application to goodness-of-fit testing is discussed.

On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications / Taufer, Emanuele. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 106:(2015), pp. 262-271. [10.1016/j.spl.2015.07.032]

On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications

Taufer, Emanuele
2015-01-01

Abstract

This paper analyzes the limit properties of the empirical process of αα-stable random variables with long range dependence. The αα-stable random variables are constructed by non-linear transformations of bivariate sequences of strongly dependent gaussian processes. The approach followed allows an analysis of the empirical process by means of expansions in terms of bivariate Hermite polynomials for the full range 0<2. A weak uniform reduction principle is provided and it is shown that the limiting process is gaussian. The results of the paper differ substantially from those available for empirical processes obtained by stable moving averages with long memory. An application to goodness-of-fit testing is discussed.
2015
Taufer, Emanuele
On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications / Taufer, Emanuele. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 106:(2015), pp. 262-271. [10.1016/j.spl.2015.07.032]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11572/110169
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