An Extension of the Class of Regularly Varying Functions

We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized moments when these functions are random variables. We study the properties of this new class and discuss their applications to Extreme Value Theory.

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Year of publication:	2014-12
Authors:	Cadena, Meitner ; Kratz, Marie
Institutions:	ESSEC Business School
Subject:	asymptotic behavior - domains of attraction \| extreme value theory \| Karamata’s representation theorem \| Karamata’s theorem \| Karamata’s tauberian theorem \| measurable functions \| von Mises’ conditions \| Peter and Paul distribution \| regularly varying function

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Extent:	application/pdf
Series:	ESSEC Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series ESSEC Working Papers Number WP1417 35 pages
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011107025