Weak Convergence for Self-Normalized Partial Sum Processes in the Skorokhod M1 Topology with Applications to Regularly Varying Time Series (2405.01318v2)

Abstract: In this paper we study the weak convergence of self-normalized partial sum processes in the Skorokhod M1 topology for sequences of random variables which exhibit clustering of large values of the same sign. We show that for stationary regularly varying sequences with such properties, their corresponding properly centered self-normalized partial sums processes converge to a stable Levy process. The convergence is established in the space of cadlag functions endowed with Skorohod's M1 topology, which is more suitable especially for cases in which the standard J1 topology fails to induce weak convergence of joint stochastic functionals.