Regular variation of infinite series of processes with random coefficients

DOI10.1080/15326349.2014.935947MaRDI QIDQ3191887zbMATH OpenOpenAlexFDO

Authors Raluca M. Balan

Publication date 25 September 2014

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.8012

zbMATH Keywords

Breiman's lemmalinear processesregular variationsample pathsSkorokhod spacestochastic recurrence equation

Mathematics Subject Classification ID

Sample path properties (60G17) Stable stochastic processes (60G52) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this article, we consider a series $X(t)=su{m}_{jgeq1}Ps{i}_j(t)Z_j(t),tin[0,1]$ of random processes with sample paths in the space $D=D[0,1]$ of c`adl`ag functions (i.e. right-continuous functions with left limits) on $[0,1]$. We assume that $(Z_j{)}_{jgeq1}$ are i.i.d. processes with sample paths in $D$ and $(Ps{i}_j{)}_{jgeq1}$ are processes with continuous sample paths. Using the notion of regular variation for $D$-valued random elements (introduced in Hult and Lindskog (2005)), we show that $X$ is regularly varying if $Z_1$ is regularly varying, $(Ps{i}_j{)}_{jgeq1}$ satisfy some moment conditions, and a certain ``predictability assumption holds for the sequence ${(Z_j,Ps{i}_j)}_{jgeq1}$. Our result can be viewed as an extension of Theorem 3.1 of Hult and Samorodnitsky (2008) from random vectors in $R^d$ to random elements in $D$. As a preliminary result, we prove a version of Breiman's lemma for $D$-valued random elements, which can be of independent interest.

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Cited in

(3)

• Tail probabilities for infinite series of regularly varying random vectors
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