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Mathematics > Probability

arXiv:1401.5777 (math)
[Submitted on 22 Jan 2014]

Title:General inverse problems for regular variation

Authors:Ewa Damek, Thomas Mikosch, Jan Rosinski, Gennady Samorodnitsky
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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 up 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.
Subjects: Probability (math.PR)
MSC classes: 60E05, 60F05
Cite as: arXiv:1401.5777 [math.PR]
  (or arXiv:1401.5777v1 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1401.5777

Submission history

From: Thomas Mikosch [view email]
[v1] Wed, 22 Jan 2014 20:25:52 UTC (39 KB)
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