Extreme value theory for suprema of random variables with regularly varying tail probabilities
نویسندگان
چکیده
منابع مشابه
Tail probabilities for infinite series of regularly varying random vectors
A random vector X with representation X = ∑ j≥0 AjZj is considered. Here, (Zj) is a sequence of independent and identically distributed random vectors and (Aj) is a sequence of random matrices, ‘predictable’ with respect to the sequence (Zj). The distribution of Z1 is assumed to be multivariate regular varying. Moment conditions on the matrices (Aj) are determined under which the distribution o...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1986
ISSN: 0304-4149
DOI: 10.1016/0304-4149(86)90113-4