Transformations des lois multivariées avec queues régulières

Details Transformations des lois multivariées avec queues régulières Transformations des lois multivariées avec queues régulières

2009-03-05

arxiv.org/abs/0903.1005v1

Mathematics

Probability

11 pages

Scientific paper

Let $X$ be a random vector in $\rd$ with a regularly varying tail. We
consider two transformations $\|X\|f(\frac{X}{\|X\|})$, $f: \sd\to\sd$, and
$Xf(\frac{X}{\|X\|})$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions for
preserving the property of regularity of the tail for this kind of
transformations are given.

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