The second-order version of Karamata's theorem with applications

DOI10.1016/J.SPL.2013.02.006MaRDI QIDQ385111zbMATH OpenOpenAlexFDO

Authors Xuan Leng, Taizhong Hu, Xiaoqing Pan

Publication date 29 November 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.02.006

zbMATH Keywords

extreme value theoryregular variationconditional momentKaramata's theoremsecond-order regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Rapid variability and Karamata’s integral theorem
• A generalization of Karamata’s theorem on the asymptotic behavior of integrals
• Tauberian theorems for matrix regular variation
• Karamata theorem for regularly log-periodic functions
• Von Mises-type conditions in second order regular variation

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Conditions based on conditional moments for max-stable limit laws
• Extreme value behavior of aggregate dependent risks
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• On Smooth Statistical Tail Functionals
• Properties of second-order regular variation and expansions for risk concentration
• Second order regular variation and conditional tail expectation of multiple risks
• Second-order regular variation, convolution and the central limit theorem

Cited in

(9)

• Second-order regular variation inherited from Laplace-Stieltjes transforms
• Second order asymptotics for Krein indefinite multipliers with multiplicity two
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• On second \(\kappa\)-variation
• Karamata theorem for regularly log-periodic functions
• Higher-order representation of Karamata theorem
• SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
• Variants of Karamata’s iteration theorem
• About Karamata mean value theorem, some consequences and some stability results

This page was built for publication: The second-order version of Karamata's theorem with applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q385111)