Distribution Tails of Sample Quantiles and Subexponentiality
نویسنده
چکیده
We show that subexponentiality is not suucient to guarantee that the distribution tail of a sample quantile of an innnitely divisible process is equivalent to the \tail" of the same sample quantile under the corresponding L evy measure. However, such an equivalence result is shown to hold under either an assumption of an appropriatly slow tail decay or an assumption on the structure of the process.
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