A self-normalized functional limit theorem is proved for linear processes with random coefficients and heavy-tailed innovations, with convergence in the Skorokhod M2 topology on cadlag functions under a bounded partial-sum condition on the coefficients.
Sato,L´ evy Processes and Infinitely Divisible Distributions, Cambridge Studies in Ad- vanced Mathematics Vol
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A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
A self-normalized functional limit theorem is proved for linear processes with random coefficients and heavy-tailed innovations, with convergence in the Skorokhod M2 topology on cadlag functions under a bounded partial-sum condition on the coefficients.