Abstract
We study convergence in law of partial sums of linear processes with heavy-tailed innovations. In the case of summable coefficients, necessary and sufficient conditions for the finite dimensional convergence to an \(\alpha \)-stable Levy Motion are given. The conditions lead to new, tractable sufficient conditions in the case \(\alpha \le 1\). In the functional setting, we complement the existing results on \(M_1\)-convergence, obtained for linear processes with nonnegative coefficients by Avram and Taqqu (Ann Probab 20:483–503, 1992) and improved by Louhichi and Rio (Electr J Probab 16(89), 2011), by proving that in the general setting partial sums of linear processes are convergent on the Skorokhod space equipped with the \(S\) topology, introduced by Jakubowski (Electr J Probab 2(4), 1997).
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