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

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  • Danijel Krizmanić

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 càdlàg functions on [0, 1] with the Skorokhod M1 topology.

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  • Danijel Krizmanić, 2022. "Maxima of linear processes with heavy‐tailed innovations and random coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 238-262, March.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:2:p:238-262
    DOI: 10.1111/jtsa.12610
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    1. Krizmanić, Danijel, 2018. "A note on joint functional convergence of partial sum and maxima for linear processes," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 42-46.
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