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arXiv · 0903.1005

Transformations des lois multivariées avec queues régulières

Youri Davydov·Shuyan Liu
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Abstract

Let $X$ be a random vector in $\rd$ with a regularly varying tail. We consider two transformations $\|X\|f(\frac{X}{\|X\|})$, $f: \sd\to\sd$, and $Xf(\frac{X}{\|X\|})$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions for preserving the property of regularity of the tail for this kind of transformations are given.

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Youri Davydov, Shuyan Liu. 2009-03-05. Transformations des lois multivariées avec queues régulières. https://arxiv.org/abs/0903.1005

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