Characterizations and examples of hidden regular variation (Q2488443)

The distribution of a non-negative random vector \(Y\) is called multivariate regularly varying on a cone \(C\) with the limit measure \(\nu\) if there exists a scaling function \(b(t)\uparrow \infty\) as \(t\to\infty\) such that \[ t{\mathbf P}\left[(1/b(t))Y\in A\right]\to\nu(A)\text{ for any Borel }A\subseteq C. \] A hidden regular variation arises if there exists a subcone \(C_0\subset C\) at which \(Y\) (being regularly varying on \(C\)) is regularly varying with scaling function \(b_0\) of lower order then \(b\): \(b(t)/b_0(t)\to\infty\). The authors derive characterizations of hidden regular variation especially in the case when \(C={\mathbb R}_{+}^d\) and \(C_0\) is its ``interior'' which relies on the asymptotic (tail) independence.