General inverse problems for regular variation

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

doi:10.1239/jap/1417528478

General inverse problems for regular variation

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

Institut for Matematiske Fag

6 Citationer (Scopus)

434 Downloads (Pure)

Abstract

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.

Originalsprog	Engelsk
Tidsskrift	Journal of Applied Probability
Vol/bind	51A
Sider (fra-til)	229-248
ISSN	0021-9002
DOI	https://doi.org/10.1239/jap/1417528478
Status	Udgivet - 1 dec. 2014

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10.1239/jap/1417528478

General inverse problems for regular variatioForlagets udgivne version, 205 KB

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AU - Rosinski, Jan

AU - Samorodnitsky, Gennady

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N2 - 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.

AB - 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.

U2 - 10.1239/jap/1417528478

DO - 10.1239/jap/1417528478

M3 - Journal article

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VL - 51A

SP - 229

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JO - Journal of Applied Probability

JF - Journal of Applied Probability

ER -

General inverse problems for regular variation

Abstract

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