8th Croatian Mathematical Congress

Functional convergence of maxima of linear processes with random coeffcients

3 Jul 2024, 09:20

30m

D1 (Faculty of Economics and Business, J. J. Strossmayer University of Osijek)

Poster PSF: Probability, Statistics and Financial Mathematics Poster session

Speaker

Danijel Krizmanić (Faculty of Mathematics, University of Rijeka)

Description

We study maxima of linear processes with heavy-tailed innovations and random coefficients. Using the point process approach we derive functional convergence of the partial maxima stochastic process in the space of cadlag functions on $[0,1]$ endowed with the Skorohod $M_1$ topology.