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Distribution tails of sample quantiles and subexponentiality

We show that subexponentiality is not sufficient to guarantee that the distribution tail of a sample quantile of an infinitely divisible process is equivalent to the "tail" of the same sample quantile under the corresponding Lévy measure. However, such an equivalence result is shown to hold under either an assumption of an appropriately slow tail decay or an assumption on the structure of the process.
Year of publication:
1998
Authors: Braverman, Michael ; Samorodnitsky, Gennady
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 76.1998, 1, p. 45-60
Publisher: Elsevier
Keywords: Sample quantiles Tail behavior Infinitely divisible processes Subexponential distribution Lévy measure
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874990
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