A limit theorem for moving averages in the α-stable domain of attraction

Abstract

In the early 1990's, Avram and Taqqu showed that regularly varying moving average processes with all coefficients nonnegative and the tail index strictly between 0 and 2 satisfy functional limit theorem. They also conjectured that an equivalent statement holds under a certain less restrictive assumption on the coefficients, but in a different topology on the space of cádlág functions. We give a proof of this result.

17 pages