A formula for hidden regular variation behavior for symmetric stable distributions
Probability
2020-10-23 v2
Abstract
We develop a formula for the power-law decay of various sets for symmetric stable random vectors in terms of how many vectors from the support of the corresponding spectral measure are needed to enter the set. One sees different decay rates in "different directions", illustrating the phenomenon of hidden regular variation. We give several examples and obtain quite varied behavior, including sets which do not have exact power-law decay.
Cite
@article{arxiv.1910.09813,
title = {A formula for hidden regular variation behavior for symmetric stable distributions},
author = {Malin Palö Forsström and Jeffrey E. Steif},
journal= {arXiv preprint arXiv:1910.09813},
year = {2020}
}
Comments
23 pages, 7 figures To appear in Extremes