Maxima of linear processes with heavy-tailed innovations and random coefficients

Abstract

We investigate maxima of linear processes with i.i.d. 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 non-decreasing càdlàg functions on $[0,1]$ with the Skorohod $M_1$ topology.

arXiv admin note: text overlap with arXiv:1710.07788