Second-Order Behaviour for Self-Decomposable Distributions with Two-Sided Regularly Varying Densities

Toshiro Watanabe ()
Additional contact information
Toshiro Watanabe: The University of Aizu

Journal of Theoretical Probability, 2022, vol. 35, issue 2, 1343-1366

Abstract: Abstract We investigate the asymptotic behaviour of the difference between the tails of a self-decomposable distribution with a two-sided regularly varying density on the real line and its Lévy measure. Moreover, we study the second-order asymptotic behaviour of the tail of the t-th convolution power of a self-decomposable distribution with a two-sided regularly varying density.

Keywords: Self-decomposability; Regular variation; Second-order subexponentiality; 60E07; 60G51 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-021-01083-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:35:y:2022:i:2:d:10.1007_s10959-021-01083-8

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-021-01083-8

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().