Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise

Abstract

We consider a stationary moving average process with random coefficients, , generated by an array, {Ct,k, t ∈ Z, k ≥ 0}, of random variables and a heavy-tailed sequence, {Zt, t ∈ Z}. We analyze the limit behavior using a point process analysis. As applications of our results we compare the limiting behavior of the moving average process with random coefficients with that of a standard MA(∞) process.