Homogeneous mappings of regularly varying vectors
Research output: Contribution to journal › Journal article › Research › peer-review
Documents
- HOMOGENEOUS MAPPINGS OF REGULARLY VARYING VECTORS
Final published version, 291 KB, PDF document
It is well known that the product of two independent regularly varying random variables with the same tail index is again regularly varying with this index. In this paper, we provide sharp sufficient conditions for the regular variation property of product-type functions of regularly varying random vectors, generalizing and extending the univariate theory in various directions. The main result is then applied to characterize the regular variation property of products of i.i.d. regularly varying quadratic random matrices and of solutions to affine stochastic recurrence equations under nonstandard conditions.
Original language | English |
---|---|
Journal | Annals of Applied Probability |
Volume | 30 |
Issue number | 6 |
Pages (from-to) | 2999-3026 |
ISSN | 1050-5164 |
DOIs | |
Publication status | Published - 2020 |
Number of downloads are based on statistics from Google Scholar and www.ku.dk
No data available
ID: 257649430