A formula for hidden regular variation behavior for symmetric stable distributions
Journal article, 2019

We develop a formula for the power-law decay of various sets for symmetric stable random vectors in terms of how many vectors from the support of the corresponding spectral measure are needed to enter the set. One sees different decay rates in “different directions”, illustrating the phenomenon of hidden regular variation. We give several examples and obtain quite varied behavior, including sets which do not have exact power-law decay.

multivariate stable dis- tributions

Hidden regular variation

Author

Malin Palö Forsström

Royal Institute of Technology (KTH)

Chalmers, Mathematical Sciences, Analysis and Probability Theory

Jeffrey Steif

Chalmers, Mathematical Sciences, Analysis and Probability Theory

Extremes

1386-1999 (ISSN)

Vol. In press

Färgning av slumpmässiga ekvivalensrelationer, slumpvandringar på dynamisk perkolation och bruskänslighet för gränsgrafen i den Erdös-Renyi-slumpgrafsmodellen

Swedish Research Council (VR), 2017-01-01 -- 2020-12-31.

Stochastics for big data and big systems - bridging local and global

Knut and Alice Wallenberg Foundation, 2013-01-01 -- 2018-09-01.

Roots

Basic sciences

Subject Categories

Probability Theory and Statistics

Mathematical Analysis

DOI

10.1007/s10687-020-00381-4

More information

Latest update

8/28/2020