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The paper obtains a functional limit theorem for the empirical process of a stationary moving average process X t with i.i.d. innovations belonging to the domain of attraction of a symmetric α-stable law, 1<α<2, with weights b j decaying as j -β , 1<β<2/α. We show that the empirical process (normalized by N 1/αβ ) weakly converges, as...
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