Tail Properties of Correlation Measures

Thomas M. Lewis () and Geoffrey Pritchard ()
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Thomas M. Lewis: Furman University
Geoffrey Pritchard: The University of Auckland

Journal of Theoretical Probability, 2003, vol. 16, issue 3, 771-788

Abstract: Abstract We study the tail properties of a class of Borel probability measures, called correlation measures. We show that (i) there exist correlation measures with exponentially decaying tail probabilities, and (ii) roughly speaking, no correlation measure may have smaller tail probabilities than a Gaussian measure.

Keywords: tail properties; Borel probability measures; Gaussian measure (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1025680718292

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