Homogeneous mappings of regularly varying vectors

DOI10.1214/20-AAP1579zbMATH Open1477.60032arXiv1903.11010MaRDI QIDQ2240484FDOQ2240484

Piotr Dyszewski, T. Mikosch

Publication date: 4 November 2021

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

Abstract: 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, we 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 iid regularly varying quadratic random matrices and of solutions to affine stochastic recurrence equations under non-standard conditions.

Full work available at URL: https://arxiv.org/abs/1903.11010

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zbMATH Keywords

random difference equationmultivariate regular variationproducts of random matricesBreiman lemma

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Random matrices (probabilistic aspects) (60B20)

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Cited In (2)

• Tail-dependence, exceedance sets, and metric embeddings
• Tail measures and regular variation

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