Homogeneous mappings of regularly varying vectors

DOI10.1214/20-AAP1579MaRDI QIDQ2240484zbMATH OpenFDO

Authors Piotr Dyszewski, T. Mikosch

Publication date 4 November 2021

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

Full work available at URL https://arxiv.org/abs/1903.11010, https://projecteuclid.org/journals/annals-of-applied-probability/volume-30/issue-6/Homogeneous-mappings-of-regularly-varying-vectors/10.1214/20-AAP1579.full

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)

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.

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Cited in

(6)

• Tail probabilities for infinite series of regularly varying random vectors
• Tail-dependence, exceedance sets, and metric embeddings
• Regularly varying functions
• On the regular variation of ratios of jointly Fréchet random variables
• On Kesten's counterexample to the Cramér-Wold device for regular variation
• Tail measures and regular variation

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