Skorokhod convergence of maxima of multivariate linear processes with heavy-tailed innovations and random coefficients
Pub. online: 28 January 2025
Type: Research Article
Open Access
Open Access
Received
30 August 2024
30 August 2024
Revised
11 January 2025
11 January 2025
Accepted
11 January 2025
11 January 2025
Published
28 January 2025
28 January 2025
Abstract
In this paper, functional convergence is derived for the partial maxima stochastic processes of multivariate linear processes with weakly dependent heavy-tailed innovations and random coefficients. The convergence takes place in the space of ${\mathbb{R}^{d}}$-valued càdlàg functions on $[0,1]$ endowed with the weak Skorokhod ${M_{1}}$ topology.
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