A Multivariate Functional Limit Theorem in Weak Topology

摘要

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 valued cA dlA g functions endowed with the so-called weak topology. The theory is illustrated on two examples. In particular, we demonstrate why such an extension of Skorohod's topology is actually necessary for the limit theorem to hold.