Transformations of multivariate regularly varying tail distributions

Davydov, Youri; Liu, Shuyan

Document type :

Compte-rendu et recension critique d'ouvrage

Title :

Transformations of multivariate regularly varying tail distributions

Author(s) :

Davydov, Youri [Auteur]

Laboratoire Paul Painlevé - UMR 8524 [LPP]
Liu, Shuyan [Auteur]
Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) [SAMM]
Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)

Journal title :

Revue roumaine de mathématiques pures et appliquées

Pages :

483-492

Publisher :

Editura Academiei Române

Publication date :

2010

ISSN :

0035-3965

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [en]

Let $X$ be a random vector in $\rd$ with a regularly varying tail. We consider two transformations $\|X\|f(\frac{X}{\|X\|})$, $f: \sd\to\sd$, and $Xf(\frac{X}{\|X\|})$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions ...
Show more >Let $X$ be a random vector in $\rd$ with a regularly varying tail. We consider two transformations $\|X\|f(\frac{X}{\|X\|})$, $f: \sd\to\sd$, and $Xf(\frac{X}{\|X\|})$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions for preserving the property of regularity of the tail for this kind of transformations are given.Show less >

Language :

Français

Popular science :

Non

Comment :

11 pages, submitted to Romanian Journal of Pure and Applied Mathematics

Collections :

Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL

Files

0903.1005
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