On regular variation of probability densities

L. de Haan and S. Resnick

Stochastic Processes and their Applications, 1987, vol. 25, 83-93

Abstract: Regular variation of the tail of a multivariate probability distribution is implied by regular variation of the density f provided f satisfies a regularity condition. We give a uniformity condition which controls variation of the function f across rays. Our condition is somewhat more flexible than the usual regularity condition of monotonicity. Some examples are given. As a by-product we get results on multidimensional regular variation of some independent interest.

Keywords: multidimensional; regular; variation; domains; of; attraction; multivariate; extremes (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (12)

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