Naslov
Joint functional convergence of partial sum and maxima for linear processes

Autori
Krizmanić, Danijel

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni

Izvornik
12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics - Abstracts / - , 2018, 251-251

Skup
12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Merting on Probability and Statistics

Mjesto i datum
Vilnius, Litva, 02.07.2018. - 06.07.2018

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
functional limit theorem ; Skorohod M2 topology ; regular variation ; linear process ; partial sum and maxima processes

Sažetak
For linear processes with independent and identically distributed innovations that are regularly varying with tail index α ∈ (0, 2), we study functional convergence of the joint partial sum and partial maxima processes in the space of R^2-valued cadlag functions on [0, 1]. Under certain assumptions on the coefficients of the linear process, we derive a functional limit theorem with the Skorohod weak M_2 topology, where the limiting process consists of an α-stable Levy process and an extremal process. We also describe the dependence between these two components of the limit.

Izvorni jezik
Engleski

POVEZANOST RADA