Article ID Journal Published Year Pages File Type
7548138 Statistics & Probability Letters 2018 11 Pages PDF
Abstract
Recently, for the joint partial sum and partial maxima processes constructed from linear processes with independent identically distributed innovations that are regularly varying with tail index α∈(0,2), a functional limit theorem with the Skorohod weak M2 topology has been obtained. In this paper we show that, if all the coefficients of the linear processes are of the same sign, the functional convergence holds in the stronger topology, i.e. in the Skorohod weak M1 topology on the space of R2-valued càdlàg functions on [0,1].
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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