Joint functional convergence of partial sum and maxima for linear processes
Abstract
For linear processes with independent identically distributed innovations that are regularly varying with tail index , we study functional convergence of the joint partial sum and partial maxima processes. We derive a functional limit theorem under certain assumptions on the coefficients of the linear processes which enable the functional convergence to hold in the space of --valued c\`adl\`ag functions on with the Skorohod weak topology. Also a joint convergence in the topology on the first coordinate and in the topology on the second coordinate is obtained.
Cite
@article{arxiv.1710.07788,
title = {Joint functional convergence of partial sum and maxima for linear processes},
author = {Danijel Krizmanic},
journal= {arXiv preprint arXiv:1710.07788},
year = {2018}
}
Comments
A short discussion on the conditions that allow the a.s. convergence of the series defining the moving average process and the absolute summability of the coefficients is inserted in the Introduction. Also, a discussion about the "joint convergence in two different topologies" is inserted in the paper (Remark 3.3)