New results for tails of probability distributions according to their asymptotic decay

被引：3

作者：

Cadena, Meitner ^{[1
,2
]}

Kratz, Marie

机构：

[1] UPMC, Paris, France

[2] ESSEC Business Sch, CREAR, F-95021 Cergy Pontoise, France

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 109卷

关键词：

Asymptotic behavior; Maximum domains of attraction; Frechet; Gumbel; Pickands-Balkema-de Haan Theorem; Regularly varying function;

D O I：

10.1016/j.spl.2015.10.018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper provides new properties for tails of probability distributions belonging to a class defined according to the asymptotic decay of the tails. This class contains the one of regularly varying tails of distributions. The main results concern the relation between this larger class and the maximum domains of attraction of Frechet and Gumbel. (c) 2015 Elsevier B.V. All rights reserved.

引用

页码：178 / 183

页数：6

共 14 条

[1]

[Anonymous], 1970, Math. Centre Tracts

[2] REGULARLY VARYING PROBABILITY DENSITIES [J].

Bingham, N. H. ;

Goldie, Charles M. ;

Omey, Edward .

PUBLICATIONS DE L INSTITUT MATHEMATIQUE-BEOGRAD, 2006, 80 (94) :47-57

[3]

Bingham NH., 1989, REGULAR VARIATION

[4]

Cadena M., 2015, SIMPLE ESTIMATOR M I

[5]

Cadena M., 2015, NEW EXTENSION CLASS

[6]

Cadena M, 2015, INT J MATH COMPUT SC, V10, P105

[7]

Embrechts P., 1997, Modelling Extremal Events for Insurance and Finance, DOI 10.1007/978-3-642-33483-2

[8] The limited distribution of the maximum term of a random series [J].

Gnedenko, B .

ANNALS OF MATHEMATICS, 1943, 44 :423-453

[9] SUB-EXPONENTIAL DISTRIBUTIONS AND DOMINATED-VARIATION TAILS [J].

GOLDIE, CM .

JOURNAL OF APPLIED PROBABILITY, 1978, 15 (02) :440-442

[10]

Haan L. D., 2006, SPRING S OPERAT RES, DOI 10.1007/0-387-34471-3

← 1 2 →