Maxima of linear processes with heavy-tailed innovations and random coefficients

Danijel Krizmanić

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arXiv · 2008.00771

Maxima of linear processes with heavy-tailed innovations and random coefficients

Danijel Krizmanić

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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 $[0,1]$ with the Skorohod $M_{1}$ topology.

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Danijel Krizmanić. 2020-08-03. Maxima of linear processes with heavy-tailed innovations and random coefficients. https://arxiv.org/abs/2008.00771

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