A formula for hidden regular variation behavior for symmetric stable distributions
Preprint, 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

Författare

Malin Palo Forsstrom

Jeffrey Steif

Chalmers, Matematiska vetenskaper, Analys och sannolikhetsteori

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

Vetenskapsrådet (VR), 2017-01-01 -- 2020-12-31.

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

Knut och Alice Wallenbergs Stiftelse, 2013-01-01 -- 2018-09-01.

Fundament

Grundläggande vetenskaper

Ämneskategorier

Sannolikhetsteori och statistik

Matematisk analys

Mer information

Skapat

2019-11-28