An extension of the class of regularly varying functions

Publication date 19 November 2014

Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99) Integrals of Riemann, Stieltjes and Lebesgue type (26A42)

Abstract: We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized moments when these functions are random variables. We study the properties of this new class and discuss their applications to Extreme Value Theory.

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