Search Results - subject:"regular variation"

Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model

Mentemeier, Sebastian; Wintenberger, Olivier - In: Journal of Time Series Analysis 43 (2022) 5, pp. 750-780

.i.d. random variables. We obtain a full characterization of the vector scaling regular variation properties of (Xt), proving that …

Persistent link: https://www.econbiz.de/10013380924

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

Multi-normex distributions for the sum of random vectors : rates of convergence

Kratz, Marie; Prokopenko, Evgeny - 2021

Persistent link: https://www.econbiz.de/10013173635

Innovation, firm size distribution, and gains from trade

Chen, Yi-Fan; Hsu, Wen-Tai; Peng, Shin-Kun - In: Theoretical Economics 18 (2023) 1, pp. 341-380

Power laws in productivity and firm size are well-documented empirical regularities. As they are upper right-tail phenomena, this paper shows that assuming asymptotic power functions for various model primitives (such as demand and firm heterogeneity) are sufficient for matching these...

Persistent link: https://www.econbiz.de/10014536926

Empirical likelihood based testing for multivariate regular variation

Einmahl, John H. J.; Krajina, Andrea - 2023

Persistent link: https://www.econbiz.de/10013475286

Innovation, firm size distribution, and gains from trade

Chen, Yi-Fan; Hsu, Wen-Tai; Peng, Shin Kun - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 1, pp. 341-380

Power laws in productivity and firm size are well documented empirical regularities. As they are upper right-tail phenomena, this paper shows that assuming asymptotic power functions for various model primitives (such as demand and firm heterogeneity) are sufficient for matching these...

Persistent link: https://www.econbiz.de/10014245426

Conditional excess risk measures and multivariate regular variation

Das, Bikramjit; Fasen-Hartmann, Vicky - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 1-23

regular variation. We show that regular variation on different subspaces of the Euclidean space leads to these risk measures … exhibiting distinct asymptotic behavior. Furthermore, we elicit connections between regular variation on these subspaces and the … under multivariate regular variation. We use a variety of examples to exhibit where such computations are practically …

Persistent link: https://www.econbiz.de/10014621272

A 2×2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$2~{\times }~2$$\end{document} random switching model and its dual risk model

Behme, Anita; Strietzel, Philipp Lukas - In: Queueing Systems 99 (2021) 1-2, pp. 27-64

In this article, a special case of two coupled M/G/1-queues is considered, where two servers are exposed to two types of jobs that are distributed among the servers via a random switch. In this model, the asymptotic behavior of the workload buffer exceedance probabilities for the two single...

Persistent link: https://www.econbiz.de/10014501852

On Zipf's law and the bias of Zipf regressions

Schluter, Christian - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 529-548

Persistent link: https://www.econbiz.de/10012616865

Top incomes, heavy tails, and rank-size regressions

Schluter, Christian - In: Econometrics 6 (2018) 1, pp. 1-16

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...

Persistent link: https://www.econbiz.de/10011995211