Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129342 | Journal of Multivariate Analysis | 2017 | 11 Pages |
Abstract
For a strictly stationary sequence of R+d-valued random vectors we derive functional convergence of partial maxima stochastic processes under joint regular variation and weak dependence conditions. The limit process is an extremal process and the convergence takes place in the space of R+d-valued cà dlà g functions on [0,1], with the Skorohod weak M1 topology. We also show that this topology in general cannot be replaced by the stronger (standard) M1 topology. The theory is illustrated on three examples, including the multivariate squared GARCH process with constant conditional correlations.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Danijel KrizmaniÄ,