On joint weak convergence of partial sum and maxima processes

DOI10.1080/17442508.2019.1677662zbMATH Open1492.60078arXiv1704.02121OpenAlexW2980588539WikidataQ127030256 ScholiaQ127030256MaRDI QIDQ5086520FDOQ5086520

Authors: Danijel Krizmanić 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

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.

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

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zbMATH Keywords

regular variationextremal processfunctional limit theoremweak \(M_1\) 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)

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Cited In (10)

• Joint functional convergence of partial sums and maxima for linear processes
• On joint sum/max stability and sum/max domains of attraction
• On functional weak convergence for partial sum processes
• Weak convergence of multivariate partial maxima processes
• Joint sum-and-max limit for a class of long-range dependent processes with heavy tails
• 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
• Asymptotic results for sums and extremes
• Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the \(M_1\)-topology
• Convergence of partial sum processes to Lévy processes for associated sequences

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