Tauberian theorems for matrix regular variation

DOI10.1090/S0002-9947-2012-05751-5MaRDI QIDQ2839392zbMATH OpenOpenAlexWikidataFDO

Authors Mark M. Meerschaert, Hans-Peter Scheffler

Publication date 5 July 2013

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9947-2012-05751-5

zbMATH Keywords

Karamata's Tauberian theoremLaplace-Stieltjes transformmatrix regular variationregular variation

Mathematics Subject Classification ID

Basic linear algebra (15A99) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Tauberian theorems (40E05) Laplace transform (44A10)

Review text

Let \(\mathrm{GL}(\mathbb R^{m})\) denote the space of invertible \(m\times m\) matrices with real entries. A Borel measurable function \(U:\mathbb R^{+}\rightarrow \mathrm{GL}(\mathbb R^{m}) \) is regularly varying with index matrix \(E\) if \(U(tx)U(x)^{-1}\rightarrow t^{E}\) as \(x\rightarrow \infty \); notation \(U(x)\in RV(E)\). Assume that the Laplace-Stieltjes transform \(\widehat{U}(s)=\int_{0}^{\infty }e^{-sx}dU(x)\) exists for \(s>0\). For functions of bounded variation, the authors prove the following theorem. Suppose that every eigenvalue of \(E\) has a positive real part. Then \(U(x)\in RV(E)\) if and only if \(\widehat{U}(1/x)\in RV(E)\) and in either case, \(\widehat{U}(1/x)U(x)^{-1}\rightarrow \Gamma (E+I)\), where \(I\) denotes the identity matrix and \(\Gamma (.)\) the matrix gamma function. The results could find applications in time series analysis.

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Cited in

(11)

• On complex-valued matrix transforms with slowly varying sequences
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• Translational regular variation asympotic behavior and applications
• The second-order version of Karamata's theorem with applications
• Theorems of the Alternative for Cones and Lyapunov Regularity of Matrices
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• Regularly log-periodic functions and some applications
• The Tauberian theorem of J. Karamata

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