论文标题
永久截断的时刻和一个新的中央限制定理，用于没有凯斯滕的规律性的GARCH过程
Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten's regularity
论文作者
论文摘要
我们考虑了一类永久性，可以接纳对关键截断矩的渐近学的直接表征。该类包含没有尾巴概率多项式衰减的永久性，因此无法满足凯斯滕定理。我们展示了如何应用此结果，以在关键情况下为随机复发方程的解决方案得出新的大量弱法律，以及GARCH（1,1）过程的新的中心限制定理。
We consider a class of perpetuities which admit direct characterization of asymptotics of the key truncated moment. The class contains perpetuities without polynomial decay of tail probabilities and thus not satisfying Kesten's theorem. We show how to apply this result in deriving a new weak law of large numbers for solutions to stochastic recurrence equations and a new central limit theorem for GARCH(1,1) processes in the critical case.
