Inverse problems for regular variation of linear filters, a cancellation property for -finite measures and identification of stable laws

DOI10.1214/08-AAP540zbMATH Open1171.60309arXiv0712.0576OpenAlexW3102744241MaRDI QIDQ1009486FDOQ1009486

Authors: Martin Jacobsen, T. Mikosch, Jan Rosiński, Gennady Samorodnitsky 

Publication date: 2 April 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this paper, we consider certain $sigma$-finite measures which can be interpreted as the output of a linear filter. We assume that these measures have regularly varying tails and study whether the input to the linear filter must have regularly varying tails as well. This turns out to be related to the presence of a particular cancellation property in $sigma$-finite measures, which in turn, is related to the uniqueness of the solution of certain functional equations. The techniques we develop are applied to weighted sums of i.i.d. random variables, to products of independent random variables, and to stochastic integrals with respect to L'evy motions.

Full work available at URL: https://arxiv.org/abs/0712.0576

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zbMATH Keywords

inverse probleminfinite divisibilityregular variationlinear filterfunctional equationCauchy equationstochastic integralChoquet-Deny equationinfinite moving averagetail of a measureLévy measure

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07)

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Cited In (18)

• Generalized integrated Cauchy functional equation with applications to probability models
• A multiplicative thinning‐based integer‐valued GARCH model
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• Boolean convolutions and regular variation
• Continuous scaled phase-type distributions
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• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
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• Assessing component reliability using lifetime data from systems
• Extremes of aggregated Dirichlet risks
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models

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