Multivariate subexponential distributions

DOI10.1016/0304-4149(92)90026-MMaRDI QIDQ1193399zbMATH OpenOpenAlexFDO

Authors 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

convolutionpoint processesregular variationmarginalstailssubexponentialitysubexponential distributionsvague convergence of Radon measures

Mathematics Subject Classification ID

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

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• Convolution tails, product tails and domains of attraction
• Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
• Functions of probability measures
• Joint stable attraction of two sums of products
• Limit theory for multivariate sample extremes
• On convolution tails
• Point processes, regular variation and weak convergence
• Products of distribution functions attracted to extreme value laws
• Subexponential distribution tails and point processes
• Subexponentiality and infinite divisibility

Cited in

(16)

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

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