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

Department of Mathematical Sciences

6 Citations (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.

Original language	English
Journal	Journal of Applied Probability
Volume	51A
Pages (from-to)	229-248
ISSN	0021-9002
DOIs	https://doi.org/10.1239/jap/1417528478
Publication status	Published - 1 Dec 2014

Access to Document

10.1239/jap/1417528478

General inverse problems for regular variatioFinal published version, 205 KB

Cite this

@article{c0676207007b4c79bddb3fea5c4c807d,

title = "General inverse problems for regular variation",

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. ",

author = "Ewa Damek and Mikosch, {Thomas Valentin} and Jan Rosinski and Gennady Samorodnitsky",

year = "2014",

month = dec,

day = "1",

doi = "10.1239/jap/1417528478",

language = "English",

volume = "51A",

pages = "229--248",

journal = "Journal of Applied Probability",

issn = "0021-9002",

publisher = "Applied Probability Trust",

}

TY - JOUR

T1 - General inverse problems for regular variation

AU - Damek, Ewa

AU - Mikosch, Thomas Valentin

AU - Rosinski, Jan

AU - Samorodnitsky, Gennady

PY - 2014/12/1

Y1 - 2014/12/1

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

SN - 0021-9002

VL - 51A

SP - 229

EP - 248

JO - Journal of Applied Probability

JF - Journal of Applied Probability

ER -

General inverse problems for regular variation

Abstract

Access to Document

Fingerprint

Cite this