Regularly varying functions
Hedegaard JessenLaboratory of Actuarial Mathematics, University of Copenhagen, Copenhagen, DenmarkThomas MikoschLaboratory of Actuarial Mathematics, University of Copenhagen, Copenhagen, Denmark
2006en
ABI
Аннотация
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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