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

DOI10.1214/08-AAP540MaRDI QIDQ1009486zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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• Implicit renewal theory for exponential functionals of Lévy processes
• A multiplicative thinning‐based integer‐valued GARCH model
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