弱相关重尾创新和随机系数移动平均的部分和和最大值的联合泛函收敛性

Pub Date : 2023-01-01 DOI:10.30757/alea.v20-46
Danijel Krizmanić
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Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
For moving average processes with random coefficients and heavy-tailed innovations that are weakly dependent in the sense of strong mixing and local dependence condition $D'$ we study joint functional convergence of partial sums and maxima. Under the assumption that all partial sums of the series of coefficients are a.s. bounded between zero and the sum of the series we derive a functional limit theorem in the space of $\mathbb{R}^{2}$-valued c\`{a}dl\`{a}g functions on $[0, 1]$ with the Skorokhod weak $M_{2}$ topology.
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