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Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM

โœ Scribed by Masakiyo Miyazawa; Masahiro Kobayashi


Publisher
Springer US
Year
2011
Tongue
English
Weight
579 KB
Volume
68
Category
Article
ISSN
0257-0130

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We consider a stationary time series [X t ] given by X t = k= & k Z t&k , where [Z t ] is a strictly stationary martingale difference white noise. Under assumptions that the spectral density f (\*) of [X t ] is squared integrable and m { |k| m 2 k ร„ 0 for some {>1ร‚2, the asymptotic normality of the