On joint weak convergence of partial sum and maxima processes

DOI10.1080/17442508.2019.1677662MaRDI QIDQ5086520zbMATH OpenOpenAlexWikidataFDO

Authors Danijel Krizmanić

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.02121

zbMATH Keywords

extremal processfunctional limit theoremLévy processregular variationweak \(M_1\) topology

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

Abstract: For a strictly stationary sequence of random variables we derive functional convergence of the joint partial sum and partial maxima process under joint regular variation with index $alphain(0,2)$ and weak dependence conditions. The limiting process consists of an $alpha$--stable L'{e}vy process and an extremal process. We also describe the dependence between these two components of the limit. The convergence takes place in the space of $mathbb{R}^2$--valued c`{a}dl`{a}g functions on $[0,1]$, with the Skorohod weak $M_1$ topology. We further show that this topology in general can not be replaced by the stronger (standard) $M_1$ topology.

Recommendations

• Weak convergence of multivariate partial maxima processes
• A note on joint functional convergence of partial sum and maxima for linear processes
• Joint functional convergence of partial sums and maxima for linear processes
• On functional weak convergence for partial sum processes

Cites work

• \(\alpha\)-stable limit theorems for sums of dependent random vectors
• A complete convergence theorem for stationary regularly varying multivariate time series
• A functional limit theorem for dependent sequences with infinite variance stable limits
• A multivariate functional limit theorem in weak \(M_1\) topology
• A note on joint functional convergence of partial sum and maxima for linear processes
• A note on the asymptotic independence of the sum and maximum of strongly mixing stationary random variables
• An invariance principle for sums and record times of regularly varying stationary sequences
• Convergence to Lévy stable processes under some weak dependence conditions
• Heavy-Tail Phenomena
• 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 954492 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• Joint functional convergence of partial sums and maxima for linear processes
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Point processes, regular variation and weak convergence
• Regularly varying multivariate time series
• Stable limits for sums of dependent infinite variance random variables
• Stochastic-Process Limits
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• The joint limiting distribution of sums and maxima of stationary sequences
• Weak convergence of multivariate partial maxima processes
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction

Cited in

(12)

• A note on joint functional convergence of partial sum and maxima for linear processes
• Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the M₁-topology
• Joint functional convergence of partial sums and maxima for linear processes
• On functional weak convergence for partial sum processes
• On joint sum/max stability and sum/max domains of attraction
• Weak convergence of multivariate partial maxima processes
• Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
• Convergence of partial sum processes to Lévy processes for associated sequences
• Joint sum-and-max limit for a class of long-range dependent processes with heavy tails
• Asymptotic results for sums and extremes
• A functional limit theorem for self-normalized partial sum processes in the M₁ topology
• Self-normalized partial sums of heavy-tailed time series

This page was built for publication: On joint weak convergence of partial sum and maxima processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086520)