English

A note on joint functional convergence of partial sum and maxima for linear processes

Probability 2018-03-07 v1

Abstract

Recently, for the joint partial sum and partial maxima processes constructed from linear processes with independent identically distributed innovations that are regularly varying with tail index α(0,2)\alpha \in (0, 2), a functional limit theorem with the Skorohod weak M2M_{2} topology has been obtained. In this paper we show that, if all the coefficients of the linear processes are of the same sign, the functional convergence holds in the stronger topology, i.e. in the Skorohod weak M1M_{1} topology on the space of R2\mathbb{R}^{2}--valued c\`{a}dl\`{a}g functions on [0,1][0, 1].

Keywords

Cite

@article{arxiv.1803.02141,
  title  = {A note on joint functional convergence of partial sum and maxima for linear processes},
  author = {Danijel Krizmanic},
  journal= {arXiv preprint arXiv:1803.02141},
  year   = {2018}
}

Comments

7 pages

R2 v1 2026-06-23T00:43:38.772Z