Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • 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
On regular variation for infinitely divisible random vectors and additive processes
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2006 (English)In: Advances in Applied Probability, ISSN 0001-8678, E-ISSN 1475-6064, Vol. 38, no 1, 134-148 p.Article in journal (Refereed) Published
Abstract [en]

We study the tail behavior of regularly varying infinitely divisible random vectors and additive processes, i.e. stochastic processes with independent but not necessarily stationary increments. We show that the distribution of an infinitely divisible random vector is tail equivalent to its Levy measure and we study the asymptotic decay of the probability for an additive process to hit sets far away from the origin. The results are extensions of known univariate results to the multivariate setting; we exemplify some of the difficulties that arise in the multivariate case.

Place, publisher, year, edition, pages
2006. Vol. 38, no 1, 134-148 p.
Keyword [en]
multivariate regular variation, infinitely divisible distribution, additive process, Levy process, multivariate, convergence
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-15595DOI: 10.1239/aap/1143936144ISI: 000236720200008Scopus ID: 2-s2.0-33646099385OAI: oai:DiVA.org:kth-15595DiVA: diva2:333637
Note
QC 20100525Available from: 2010-08-05 Created: 2010-08-05 Last updated: 2017-12-12Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Authority records BETA

Hult, Henrik

Search in DiVA

By author/editor
Hult, HenrikLindskog, Filip
By organisation
Mathematical Statistics
In the same journal
Advances in Applied Probability
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 51 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • 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