Homogeneous mappings of regularly varying vectors (Q2240484)

Consider a nonnegative random variable \(X\) and assume that \(X\) is regularly varying with index \(\alpha >0 \) in the sense that \(P(X > x) = \frac{L(x)}{x^{\alpha}}, x>0\). ``It is well known that the product of two independent regularly varying random variables with the same tail index is again regularly varying with this index. In this paper, the authors provide sharp sufficient conditions for the regular variation property of product-type functions of regularly varying random vectors, generalizing and extending the univariate theory in various directions. The main result is then applied to characterize the regular variation property of products of i.i.d. regularly varying quadratic random matrices and of solutions to affine stochastic recurrence equations under nonstandard conditions.''