Regularly varying measures on metric spaces : Hidden regular variation and hidden jumps

• We develop a framework for regularly varying measures on complete separable metric spaces S with a closed cone C removed, extending material in [15, 24]. Our framework provides a flexible way to consider hidden regular variation and allows simultaneous regular-variation properties to exist at different scales and provides potential for more accurate estimation of probabilities of risk regions. We apply our framework to iid random variables in ℝ∞+ with marginal distributions having regularly varying tails and to càdlàg Lévy processes whose Lévy measures have regularly varying tails. In both cases, an infinite number of regular-variation properties coexist distinguished by different scaling functions and state spaces.

Ämnesord

NATURVETENSKAP  -- Matematik -- Matematisk analys (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Mathematical Analysis (hsv//eng)

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)