Maxima of linear processes with heavy-tailed innovations and random coefficients

被引：1

作者：

Krizmanic, Danijel ^{[1
]}

机构：

[1] Univ Rijeka, Dept Math, Radmile Matejcic 2, Rijeka 51000, Croatia

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2022年 / 43卷 / 02期

关键词：

Functional limit theorem; regular variation; extremal process; set minus special t4ht@; M-1; topology; linear process; ALPHA-STABLE DOMAIN; WEAK-CONVERGENCE; MOVING AVERAGES; FUNCTIONAL CONVERGENCE; LIMIT-THEOREMS; SUMS;

D O I：

10.1111/jtsa.12610

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We investigate maxima of linear processes with i.i.d. heavy-tailed innovations and random coefficients. Using the point process approach we derive functional convergence of the partial maxima stochastic process in the space of non-decreasing cadlag functions on [0, 1] with the Skorokhod M-1 topology.

引用

页码：238 / 262

页数：25

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