A formula for hidden regular variation behavior for symmetric stable distributions
Journal article, 2020
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
Chalmers, Mathematical Sciences, Analysis and Probability Theory
Royal Institute of Technology (KTH)
Jeffrey Steif
Chalmers, Mathematical Sciences, Analysis and Probability Theory
Extremes
1386-1999 (ISSN) 1572915x (eISSN)
Vol. 23 4 667-691Stochastics for big data and big systems - bridging local and global
Knut and Alice Wallenberg Foundation (KAW2012,0067), 2013-01-01 -- 2018-09-01.
Färgning av slumpmässiga ekvivalensrelationer, slumpvandringar på dynamisk perkolation och bruskänslighet för gränsgrafen i den Erdös-Renyi-slumpgrafsmodellen
Swedish Research Council (VR) (2016-03835), 2017-01-01 -- 2020-12-31.
Roots
Basic sciences
Subject Categories
Probability Theory and Statistics
Mathematical Analysis
DOI
10.1007/s10687-020-00381-4