A Multivariate Functional Limit Theorem in Weak M1 Topology
arXiv:1308.3624
Abstract
We show a new functional limit theorem for weakly dependent regularly varying sequences of random vectors. As it turns out, the convergence takes place in the space of R^d valued càdlàg functions endowed with the so-called weak M1 topology. The theory is illustrated on two examples. In particular, we demonstrate why such an extension of Skorohod's M1 topology is actually necessary for the limit theorem to hold.
22 pages, 1 figure. arXiv admin note: text overlap with arXiv:1001.1345