General inverse problems for regular variation

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Dokumenter

Ewa Damek, Thomas Valentin Mikosch, Jan Rosinski, Gennady Samorodnitsky

Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at understanding whether the regular variation of a transformed random object is caused by regular variation of components of the original random structure. In this paper we build on previous work, and derive results in the multivariate case and in situations where regular variation is not restricted to one particular direction or quadrant.
OriginalsprogEngelsk
TidsskriftJournal of Applied Probability
Vol/bind51A
Sider (fra-til)229-248
ISSN0021-9002
DOI
StatusUdgivet - 2014

Antal downloads er baseret på statistik fra Google Scholar og www.ku.dk


Ingen data tilgængelig

ID: 130020735