kth.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Tail probabilities for infinite series of regularly varying random vectors
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.). (Mathematical Statistics)ORCID iD: 0000-0001-9210-121X
Cornell University, ORIE.
2008 (English)In: Bernoulli, ISSN 1350-7265, E-ISSN 1573-9759, Vol. 14, no 3, p. 838-864Article in journal (Refereed) Published
Abstract [en]

A random vector X with representation X = Sigma(j >= 0)A(j)Z(j) is considered. Here, (Z(j)) is a sequence of independent and identically distributed random vectors and (A(j)) is a sequence of random matrices, 'predictable' with respect to the sequence (Z(j)). The distribution of Z(1) is assumed to be multivariate regular varying. Moment conditions on the matrices (A(j)) are determined under which the distribution of X is regularly varying and, in fact, 'inherits' its regular variation from that of the (Z(j))'s. We compute the associated limiting measure. Examples include linear processes, random coefficient linear processes such as stochastic recurrence equations, random sums and stochastic integrals.

Place, publisher, year, edition, pages
2008. Vol. 14, no 3, p. 838-864
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-81927DOI: 10.3150/08-BEJ125ISI: 000264166300012Scopus ID: 2-s2.0-53349109164OAI: oai:DiVA.org:kth-81927DiVA, id: diva2:497767
Funder
Swedish Research Council
Note
QC 20120307Available from: 2012-02-11 Created: 2012-02-11 Last updated: 2022-06-24Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Hult, Henrik

Search in DiVA

By author/editor
Hult, Henrik
By organisation
Mathematics (Dept.)
In the same journal
Bernoulli
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 60 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf