Joint functional convergence of partial sums and maxima for linear processes

DOI10.1007/S10986-018-9415-2MaRDI QIDQ1728121zbMATH OpenOpenAlexFDO

Authors Danijel Krizmanić

Publication date 22 February 2019

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.07788

zbMATH Keywords

regular variationextremal processfunctional limit theoremlinear processSkorokhod \(M_2\) topologystable Lévy process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Abstract: For linear processes with independent identically distributed innovations that are regularly varying with tail index $alphain(0,2)$, we study functional convergence of the joint partial sum and partial maxima processes. We derive a functional limit theorem under certain assumptions on the coefficients of the linear processes which enable the functional convergence to hold in the space of $mathbb{R}^2$--valued c`adl`ag functions on $[0,1]$ with the Skorohod weak $M_2$ topology. Also a joint convergence in the $M_2$ topology on the first coordinate and in the $M_1$ topology on the second coordinate is obtained.

Recommendations

• A note on joint functional convergence of partial sum and maxima for linear processes
• On joint weak convergence of partial sum and maxima processes
• Maxima of linear processes with heavy-tailed innovations and random coefficients
• Functional convergence of linear processes with heavy-tailed innovations
• On functional weak convergence for partial sum processes

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3665891 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A complete convergence theorem for stationary regularly varying multivariate time series
• A functional limit theorem for dependent sequences with infinite variance stable limits
• A limit theorem for moving averages in the \(\alpha\)-stable domain of attraction
• A note on joint functional convergence of partial sum and maxima for linear processes
• Embedded Markov chain approximations in Skorokhod topologies
• Functional convergence of linear processes with heavy-tailed innovations
• Heavy-Tail Phenomena
• Limit theorems for sums of linearly generated random variables
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Point processes, regular variation and weak convergence
• Stochastic-Process Limits
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction

Cited in

(6)

• On joint weak convergence of partial sum and maxima processes
• Maxima of linear processes with heavy-tailed innovations and random coefficients
• Functional convergence of linear processes with heavy-tailed innovations
• Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
• A note on joint functional convergence of partial sum and maxima for linear processes
• A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations

This page was built for publication: Joint functional convergence of partial sums and maxima for linear processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1728121)