On joint weak convergence of partial sum and maxima processes

Abstract

For a strictly stationary sequence of random variables we derive functional convergence of the joint partial sum and partial maxima process under joint regular variation with index $\alpha \in (0,2)$ and weak dependence conditions. The limiting process consists of an $\alpha$--stable Lévy process and an extremal process. We also describe the dependence between these two components of the limit. The convergence takes place in the space of ${\mathbb{R}}^2$--valued càdlàg functions on $[0,1]$, with the Skorohod weak $M_1$ topology. We further show that this topology in general can not be replaced by the stronger (standard) $M_1$ topology.

arXiv commentarXiv admin note: text overlap with arXiv:1607.03788