On regular variation of probability densities
Regular variation of the tail of a multivariate probability distribution is implied by regular variation of the density f provided f satisfies a regularity condition. We give a uniformity condition which controls variation of the function f across rays. Our condition is somewhat more flexible than the usual regularity condition of monotonicity. Some examples are given. As a by-product we get results on multidimensional regular variation of some independent interest.
Year of publication: |
1987
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Authors: | de Haan, L. ; Resnick, S. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 25.1987, p. 83-93
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Publisher: |
Elsevier |
Keywords: | multidimensional regular variation domains of attraction multivariate extremes |
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