Homogeneous mappings of regularly varying vectors

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Standard

Homogeneous mappings of regularly varying vectors. / Dyszewski, Piotr; Mikosch, Thomas.

I: Annals of Applied Probability, Bind 30, Nr. 6, 2020, s. 2999-3026.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Dyszewski, P & Mikosch, T 2020, 'Homogeneous mappings of regularly varying vectors', Annals of Applied Probability, bind 30, nr. 6, s. 2999-3026. https://doi.org/10.1214/20-AAP1579

APA

Dyszewski, P., & Mikosch, T. (2020). Homogeneous mappings of regularly varying vectors. Annals of Applied Probability, 30(6), 2999-3026. https://doi.org/10.1214/20-AAP1579

Vancouver

Dyszewski P, Mikosch T. Homogeneous mappings of regularly varying vectors. Annals of Applied Probability. 2020;30(6):2999-3026. https://doi.org/10.1214/20-AAP1579

Author

Dyszewski, Piotr ; Mikosch, Thomas. / Homogeneous mappings of regularly varying vectors. I: Annals of Applied Probability. 2020 ; Bind 30, Nr. 6. s. 2999-3026.

Bibtex

@article{6e7a3d74b059451cba0b0dbe8b7f63c7,
title = "Homogeneous mappings of regularly varying vectors",
abstract = "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.",
author = "Piotr Dyszewski and Thomas Mikosch",
year = "2020",
doi = "10.1214/20-AAP1579",
language = "English",
volume = "30",
pages = "2999--3026",
journal = "Annals of Applied Probability",
issn = "1050-5164",
publisher = "Institute of Mathematical Statistics",
number = "6",

}

RIS

TY - JOUR

T1 - Homogeneous mappings of regularly varying vectors

AU - Dyszewski, Piotr

AU - Mikosch, Thomas

PY - 2020

Y1 - 2020

N2 - 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.

AB - 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.

U2 - 10.1214/20-AAP1579

DO - 10.1214/20-AAP1579

M3 - Journal article

VL - 30

SP - 2999

EP - 3026

JO - Annals of Applied Probability

JF - Annals of Applied Probability

SN - 1050-5164

IS - 6

ER -

ID: 257649430