Related papers: Lower limits and equivalences for convolution tail…

In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…

We consider the lattice of all the weak factorization systems on a given finite lattice. We prove that it is semidistributive, trim and congruence uniform. We deduce a graph theoretical approach to the problem of enumerating transfer…

In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1, \ldots, X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of…

Consider the Mills ratio $f(x)=\big(1-\Phi(x)\big)/\phi(x), \, x\ge 0$, where $\phi$ is the density function of the standard Gaussian law and $\Phi$ its cumulative distribution.We introduce a general procedure to approximate $f$ on the…

We consider questions related to the well-known conjecture due to Embrechts and Goldie on the closedness of different classes of heavy- and light-tailed distributions with respect to convolution roots. We show that the class L(\gamma)\cap…

Consider real symmetric, complex Hermitian Toeplitz and real symmetric Hankel band matrix models, where the bandwidth $b_{N}\ra \iy$ but $b_{N}/N \to b$, $b\in [0,1]$ as $N\to \infty$. We prove that the distributions of eigenvalues converge…

We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…

In this article, we introduce the notion of free subexponentiality, which extends the notion of subexponentiality in the classical probability setup to the noncommutative probability spaces under freeness. We show that distributions with…

We describe a method of adding tails to C*-correspondences which generalizes the process used in the study of graph C*-algebras. We show how this technique can be used to extend results for augmented Cuntz-Pimsner algebras to C*-algebras…

The purpose of this paper is to show that the use of heavy-tailed distributions in Financial problems is theoretically baseless and can lead to significant misunderstandings. The reason for this the authors see in an incorrect…

A catalytic branching random walk on a multidimensional lattice, with arbitrary finite number of catalysts, is studied in supercritical regime. The dynamics of spatial spread of the particles population is examined, upon normalization. The…

We define and study semilattices and lattices for $E$-closed families of theories. Properties of these semilattices and lattices are investigated. It is shown that lattices for families of theories with least generating sets are…

In this article, we explore convolutions of distributions with distributions given by (weighted) line integration. We also explore the scattering of singularities of such convolutions.

We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution,…

We consider certain Fibonacci-like sequences $(X_n)_{n\geq 0}$ perturbed with a random noise. Our main result is that $\frac{1}{X_n}\sum_{k=0}^{n-1}X_k$ converges in distribution, as $n$ goes to infinity, to a random variable $W$ with…

We derive the rate of decay of the tail dependence of the bivariate skew normal distribution under the equal-skewness condition {\theta}1 = {\theta}2,= {\theta}, say. The rate of convergence depends on whether {\theta} > 0 or {\theta} < 0.…

For a fixed positive integer $\;k,\;$ limit laws of linearly normalized $\;k$-th upper order statistics are well known. In this article, a comprehensive study of tail behaviours of limit laws of normalized $k$-th upper order statistics…

(The third edition corrects minor typos and adds 3 chapters synthesized from published papers plus an appendix on maximum entropy distributions.) The monograph investigates the misapplication of conventional statistical techniques to fat…

This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…