English

Transformations des lois multivari\'ees avec queues r\'eguli\`eres

Probability 2009-03-06 v1

Abstract

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

Cite

@article{arxiv.0903.1005,
  title  = {Transformations des lois multivari\'ees avec queues r\'eguli\`eres},
  author = {Youri Davydov and Shuyan Liu},
  journal= {arXiv preprint arXiv:0903.1005},
  year   = {2009}
}

Comments

11 pages

R2 v1 2026-06-21T12:18:43.147Z