J₁ convergence of partial sum processes with a reduced number of jumps

MaRDI QIDQ2945290zbMATH OpenFDO

Authors Danijel Krizmanić

Publication date 9 September 2015

Full work available at URL https://arxiv.org/abs/1407.5866, http://www.math.uni.wroc.pl/~pms/files/35.1/Article/35.1.7.pdf

zbMATH Keywords

weak dependencemixingregular variationextremesfunctional limit theorempartial sum processSkorokhod \(J_1\) topologyLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Abstract: Various functional limit theorems for partial sum processes of strictly stationary sequences of regularly varying random variables in the space of cadlag functions $D[0,1]$ with one of the Skorohod topologies have already been obtained. The mostly used Skorohod $J_1$ topology is inappropriate when clustering of large values of the partial sum processes occurs. When all extremes within each cluster of high-threshold excesses do not have the same sign, Skorohod $M_1$ topology also becomes inappropriate. In this paper we alter the definition of the partial sum process in order to shrink all extremes within each cluster to a single one, which allow us to obtain the functional $J_1$ convergence. We also show that this result can be applied to some standard time series models, including the GARCH(1,1) process and its squares, the stochastic volatility models and $m$-dependent sequences.

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