Regularly varying measures on metric spaces: hidden regular variation and hidden jumps

DOI10.1214/14-PS231zbMATH Open1317.60007arXiv1307.5803MaRDI QIDQ462812FDOQ462812

Authors: Filip Lindskog, Sidney I. Resnick, Joyjit Roy 

Publication date: 22 October 2014

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: We develop a framework for regularly varying measures on complete separable metric spaces $mathbbS$ with a closed cone $mathbbC$ removed, extending material in Hult & Lindskog (2006), Das, Mitra & Resnick (2013). Our framework provides a flexible way to consider hidden regular variation and allows simultaneous regular variation properties to exist at different scales and provides potential for more accurate estimation of probabilities of risk regions. We apply our framework to iid random variables in $mathbb{R}_{+}^{i}nfty$ with marginal distributions having regularly varying tails and to c`adl`ag L'evy processes whose L'evy measures have regularly varying tails. In both cases, an infinite number of regular variation properties coexist distinguished by different scaling functions and state spaces.

Full work available at URL: https://arxiv.org/abs/1307.5803

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zbMATH Keywords

hidden regular variationregular variation\(M\)-convergencemultivariate heavy tailstail estimationLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Probability measures on topological spaces (60B05) Spaces of measures, convergence of measures (28A33) Sample path properties (60G17)

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