Journal
BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS
Volume 36, Issue 2, Pages 315-348Publisher
BRAZILIAN STATISTICAL ASSOCIATION
DOI: 10.1214/21-BJPS528
Keywords
Multivariate regular variation; strong stationarity; stable process; Galton-Watson branching processes with immigration; iterated aggregation
Categories
Funding
- Janos Bolyai Research Scholarship of the Hungarian Academy of Sciences
- New National Excellence Program of the Ministry of Human Capacities [UNKP-18-3]
- Ministry for Innovation and Technology, Hungary [NKFIH-1279-2/2020]
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This article provides a generalization of Theorem 1 in Bartkiewicz et al. (2011) by giving sufficient conditions for weak convergence of finite dimensional distributions of the partial sum processes of a strongly stationary sequence to the corresponding finite dimensional distributions of a non-Gaussian stable process. It also applies the results to the asymptotic behavior of finite dimensional distributions of aggregation of independent copies of a strongly stationary subcritical Galton-Watson branching process.
We provide a generalization of Theorem 1 in Bartkiewicz et al. (2011) in the sense that we give sufficient conditions for weak convergence of finite dimensional distributions of the partial sum processes of a strongly stationary sequence to the corresponding finite dimensional distributions of a non-Gaussian stable process instead of weak convergence of the partial sums themselves to a non-Gaussian stable distribution. As an application, we describe the asymptotic behaviour of finite dimensional distributions of aggregation of independent copies of a strongly stationary subcritical Galton-Watson branching process with regularly varying immigration having index in (0, 1) boolean OR (1, 4/3) in a so-called iterated case, namely when first taking the limit as the time scale and then the number of copies tend to infinity.
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