Generalised regular variation of arbitrary order

DOI10.4064/BC90-0-8zbMATH Open1243.26002arXiv0901.1468OpenAlexW2093594263MaRDI QIDQ3083390FDOQ3083390

Publication date: 21 March 2011

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

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

h o t e q u i v 0

and

g > 0

such that

f (x t) - f (t) = h (x) g (t) + o (g (t))

as

t o i n f t y

for all

x i n (0, i n f t y)

. Zooming in on the remainder term

o (g (t))

leads eventually to a relation of the form

f (x t) - f (t) = h_{1} (x) g_{1} (t) + ... + 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}, > ..., g_{n})^{'}

. Under general assumptions,

g

itself must be regularly varying in the sense that

g (x t) = x^{B} g (t) + o (g_{n} (t))

for some upper triangular matrix

B i n R R^{n i m e s n}

, and the vector of limit functions

h = (h_{1}, > ..., h_{n})

is of the form

h (x) = c i n t_{1}^{x} u^{B} u^{- 1} d u

for some row vector

c i n R R^{1 i m e s n}

. 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

P i

-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.

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

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zbMATH Keywords

uniform convergence characterization representation theorems generalized regular variation Potter bounds rate vector

Mathematics Subject Classification ID

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

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