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1 results

  • General inverse problems for regular variation

  • Part of
  • Ewa Damek, Thomas Mikosch, Jan Rosiński, Gennady Samorodnitsky
  • Journal:
    Journal of Applied Probability / Volume 51 / Issue A / December 2014
    Published online by Cambridge University Press:
    30 March 2016, pp. 229-248
    Print publication:
    December 2014
    • Article
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  • 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 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.