Second-order regular variation, convolution and the central limit theorem

DOI10.1016/S0304-4149(97)00042-2zbMATH Open0913.60001OpenAlexW1967948022MaRDI QIDQ1275940FDOQ1275940

J. L. Geluk, Cătălin Stărică, Laurens De Haan, Sidney I. Resnick

Publication date: 14 January 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(97)00042-2

Recommendations

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• Closure properties of the second-order regular variation under convolutions
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zbMATH Keywords

extreme value theoryconvolutionHill estimatorregular variationmaximasecond-order behaviortail empirical measure

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• The empirical distribution function as a tail estimator
• Second order behaviour of the tail of a subordinated probability distribution
• Tails of subordinated laws: The regularly varying case
• Rates of convergence for bivariate extremes
• Exact Rates of Convergence to a Stable Law

Cited In (37)

• Robust estimator of conditional tail expectation of Pareto-type distribution
• An adaptive optimal estimate of the tail index for MA(1) time series
• First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
• Second order regular variation and conditional tail expectation of multiple risks
• SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
• Tail index estimation for dependent data
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Closure properties of the second-order regular variation under convolutions
• A note on second order conditions in extreme value theory: linking general and heavy tail conditions
• Risk concentration and diversification: second-order properties
• The closure property of 2RV under random sum
• Hill's estimator for the tail index of an ARMA model
• Second-order regular variation and rates of convergence in extreme-value theory
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Tail asymptotic expansions for \(L\)-statistics
• SECOND-ORDER REGULAR VARIATION AND THE DOMAIN OF ATTRACTION OF STABLE DISTRIBUTIONS
• Asymptotics of sum of heavy-tailed risks with copulas
• Second-order asymptotics for convolution of distributions with light tails
• Tail index estimation, concentration and adaptivity
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
• Extremal dependence analysis of network sessions
• Weak properties and robustness of t-Hill estimators
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
• Risk concentration based on expectiles for extreme risks under FGM copula
• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
• THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
• Higher-order representation of Karamata theorem
• Third order extended regular variation
• Risk concentration of aggregated dependent risks: the second-order properties
• The second-order version of Karamata's theorem with applications
• On tail index estimation based on multivariate data

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