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

Danijel Krizmanić

Statistics & Probability Letters, 2018, vol. 138, issue C, 42-46

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), a functional limit theorem with the Skorohod weak M2 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 M1 topology on the space of R2-valued càdlàg functions on [0,1].

Keywords: Functional limit theorem; Regular variation; Stable Lévy process; Extremal process; M2 topology; Linear process (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715218301081
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:138:y:2018:i:c:p:42-46

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2018.02.063

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().