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

2020/08/03 by Danijel Krizmanić, Krizmanić, Danijel
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2008.00771

openalex publication_date 2020/08/03 · openalex created_date 2022/07/26 · openalex updated_date 2026/07/28

Abstract

We investigate maxima of linear processes with i.i.d. heavy-tailed\ninnovations and random coefficients. Using the point process approach we derive\nfunctional convergence of the partial maxima stochastic process in the space of\nnon-decreasing c `adl `ag functions on [0,1] with the Skorohod M₁\ntopology.\n

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