A complete convergence theorem for stationary regularly varying multivariate time series

DOI10.1007/S10687-016-0253-5zbMATH Open1357.60034arXiv1508.03520OpenAlexW3098140368MaRDI QIDQ508726FDOQ508726

Authors: Bojan Basrak, Azra Tafro 

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

Abstract: For a class of stationary regularly varying and weakly dependent time series, we prove the so-called complete convergence result for the corresponding space-time point processes. As an application of our main theorem, we give a simple proof of the invariance principle for the corresponding partial maximum process.

Full work available at URL: https://arxiv.org/abs/1508.03520

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zbMATH Keywords

stationaritymultivariate time seriespoint processregular variationcomplete convergenceextremal processinvariance principle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

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Cited In (13)

• On joint weak convergence of partial sum and maxima processes
• Joint functional convergence of partial sums and maxima for linear processes
• Limit theorems for branching processes with immigration in a random environment
• The tail process revisited
• Maxima of linear processes with heavy-tailed innovations and random coefficients
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes
• Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
• Tail measure and spectral tail process of regularly varying time series
• 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
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Editorial: Special issue on time series extremes
• An invariance principle for sums and record times of regularly varying stationary sequences

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