Abstract
We consider a stationary moving average process with random coefficients, , generated by an array, {C t,k , t ∈ Z, k ≥ 0}, of random variables and a heavy-tailed sequence, {Z t , 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.
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