Distribution tails of sample quantiles and subexponentiality

DOI10.1016/S0304-4149(98)00022-2MaRDI QIDQ1805774zbMATH OpenOpenAlexFDO

Authors Michael Braverman, Gennady Samorodnitsky

Publication date 18 November 1999

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

Full work available at URL https://doi.org/10.1016/s0304-4149(98)00022-2

zbMATH Keywords

tail behavior[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]infinitely divisible processessubexponential distributionsample quantiles

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17)

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Cites work

• scientific article; zbMATH DE number 3662270 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• Degeneracy properties of subcritical branching processes
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Intermediate Regular and Π Variation
• Sample quantiles of heavy tailed stochastic processes
• Sample quantiles of stochastic processes with stationary and independent ents
• Spectral representations of infinitely divisible processes
• Subexponentiality and infinite divisibility
• Subexponentiality of the product of independent random variables
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options

Cited in

(2)

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• An Introduction to Heavy-Tailed and Subexponential Distributions

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