Search: onr:"swepub:oai:DiVA.org:kth-281789" >
Regularly varying m...
Regularly varying measures on metric spaces : Hidden regular variation and hidden jumps
-
- Lindskog, Filip (author)
- KTH,Matematik (Inst.)
-
Resnick, S. I. (author)
-
Roy, J. (author)
-
KTH Matematik (Inst) (creator_code:org_t)
- Institute of Mathematical Statistics, 2014
- 2014
- English.
-
In: Probability Surveys. - : Institute of Mathematical Statistics. - 1549-5787. ; 11:2014, s. 270-314
- Related links:
-
https://doi.org/10.1...
-
show more...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
show less...
Abstract
Subject headings
Close
- 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.
Subject headings
- NATURVETENSKAP -- Matematik -- Matematisk analys (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Mathematical Analysis (hsv//eng)
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
To the university's database