Generalised regular variation of arbitrary order

DOI10.4064/BC90-0-8MaRDI QIDQ3083390zbMATH OpenOpenAlexFDO

Authors Edward Omey, Johan Segers

Publication date 21 March 2011

Published in Banach Center Publications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/0901.1468

zbMATH Keywords

uniform convergencecharacterizationrepresentation theoremsgeneralized regular variationPotter boundsrate vector

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

Abstract: Let $f$ be a measurable, real function defined in a neighbourhood of infinity. The function $f$ is said to be of generalised regular variation if there exist functions $hotequiv0$ and $g>0$ such that $f(xt)-f(t)=h(x)g(t)+o(g(t))$ as $toinfty$ for all $xin(0,infty)$. Zooming in on the remainder term $o(g(t))$ leads eventually to a relation of the form $f(xt)-f(t)=h_1(x)g_1(t)+\mathrm{...}+h_n(x)g_n(t)+o(g_n(t))$, each $g_i$ being of smaller order than its predecessor $g_{i-1}$. The function $f$ is said to be generalised regularly varying of order $n$ with rate vector $g=(g_1,>\mathrm{...},g_n{)}^{\prime }$. Under general assumptions, $g$ itself must be regularly varying in the sense that $g(xt)=x^{B}g(t)+o(g_n(t))$ for some upper triangular matrix $BinR{R}^{nimesn}$, and the vector of limit functions $h=(h_1,>\mathrm{...},h_n)$ is of the form $h(x)=cin{t}_1^x{u}^B{u}^{-1}du$ for some row vector $cinR{R}^{1imesn}$. The usual results in the theory of regular variation such as uniform convergence and Potter bounds continue to hold. An interesting special case arises when all the rate functions $g_i$ are slowly varying, yielding $Pi$-variation of order $n$, the canonical case being that $B$ is equivalent to a single Jordan block with zero diagonal. The theory is applied to a long list of special functions.

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