General inverse problems for regular variation
Probability
2014-01-23 v1
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.
Cite
@article{arxiv.1401.5777,
title = {General inverse problems for regular variation},
author = {Ewa Damek and Thomas Mikosch and Jan Rosinski and Gennady Samorodnitsky},
journal= {arXiv preprint arXiv:1401.5777},
year = {2014}
}