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Regularly varying functions

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Jessen, Hedegaard, Mikosch, Thomas·2006·Publications de l'Institut Mathematique

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Abstract

We consider some elementary functions of the components of a regularly varying random vector such as linear combinations, products, minima, maxima, order statistics, powers. We give conditions under which these functions are again regularly varying, possibly with a different index.

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Authors: Jessen, H., & Mikosch, T.
Affiliations: Laboratory of Actuarial Mathematics, University of Copenhagen, Copenhagen, Denmark
University of Copenhagen (DK)
ORCID: Mikosch, Thomas
Venue: Publications de l'Institut Mathematique
Publisher: National Library of Serbia
Published: 2006
Volume: 80
Issue: 94
Pages: 171-192
ISSN: 0350-1302 (ISSN-L)
1820-7405
DOI: 10.2298/pim0694171j
OpenAlex: W1984074210
Cited by: 236
References: 50
Citations by year: 2026: 1 · 2025: 11 · 2024: 9 · 2023: 10 · 2022: 17 · 2021: 15 · 2020: 16 · 2019: 9 · 2018: 10 · 2017: 8 · 2016: 8 · 2015: 15 · 2014: 16 · 2013: 17 · 2012: 15
FWCI: 7.55
Type: journal article
Language: en
Open access: bronze
doi.org
Locations: Publications de l Institut Mathematique (publishedVersion)
Funders: Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung
Topics: Physical Sciences › Mathematics › Statistics and Probability › Probability and Statistical Research
Social Sciences › Decision Sciences › Management Science and Operations Research › Probability and Risk Models
Physical Sciences › Mathematics › Applied Mathematics › Approximation Theory and Sequence Spaces
Keywords: regularly varying functions, linear combinations, product, extreme values, order statistics

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