Maxima of linear processes with heavy-tailed innovations and random coefficients
Probability
2021-10-05 v3
Abstract
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 c\`{a}dl\`{a}g functions on with the Skorohod topology.
Keywords
Cite
@article{arxiv.2008.00771,
title = {Maxima of linear processes with heavy-tailed innovations and random coefficients},
author = {Danijel Krizmanić},
journal= {arXiv preprint arXiv:2008.00771},
year = {2021}
}
Comments
arXiv admin note: text overlap with arXiv:1710.07788