Multivariate subexponential distributions

DOI10.1016/0304-4149(92)90026-MzbMath0751.62025OpenAlexW2078120520MaRDI QIDQ1193399

Daren B. H. Cline, Sidney I. Resnick

Publication date: 27 September 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(92)90026-m

zbMATH Keywords

convolutionregular variationsubexponential distributionspoint processestailsmarginalssubexponentialityvague convergence of Radon measures

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (15)

Multivariate subexponential distributions and their applications ⋮ Subexponential potential asymptotics with applications ⋮ On directional convolution equivalent densities ⋮ Subexponential distribution functions in \(R^{d}\) ⋮ Exponential densities and compound Poisson measures ⋮ Multi-normex distributions for the sum of random vectors. Rates of convergence ⋮ Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions ⋮ The tail behaviour of a random sum of subexponential random variables and vectors ⋮ Spatial asymptotics at infinity for heat kernels of integro-differential operators ⋮ Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues ⋮ On regular variation for infinitely divisible random vectors and additive processes ⋮ Characterization of multivariate heavy-tailed distribution families via copula ⋮ A \(2\times 2\) random switching model and its dual risk model ⋮ Multivariate subexponential distributions and random sums of random vectors ⋮ Subexponentiality of the product of independent random variables

Cites Work

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• Joint stable attraction of two sums of products
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• Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
• Limit theory for multivariate sample extremes
• Subexponentiality and infinite divisibility
• Products of distribution functions attracted to extreme value laws

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