An Extension of the Class of Regularly Varying Functions

Meitner Cadena () and Marie Kratz ()
Additional contact information
Meitner Cadena: UPMC (Université Pierre-et-Marie-Curie) à Paris 6 & CREAR (Center of Research in Econo-finance and Actuarial sciences on Risk) at ESSEC, Postal: 4 place Jussieu , 75005 Paris, FRANCE, http://www.upmc.fr/
Marie Kratz: ESSEC Business School, Postal: AVENUE BERNARD HIRSCH, CS 50105 CERGY, 95021 CERGY PONTOISE CEDEX, FRANCE, http://www.essec.edu

No WP1417, ESSEC Working Papers from ESSEC Research Center, ESSEC Business School

Abstract: We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized moments when these functions are random variables. We study the properties of this new class and discuss their applications to Extreme Value Theory.

Keywords: asymptotic behavior - domains of attraction; extreme value theory; Karamata’s representation theorem; Karamata’s theorem; Karamata’s tauberian theorem; measurable functions; von Mises’ conditions; Peter and Paul distribution; regularly varying function (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2014-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://hal-essec.archives-ouvertes.fr/hal-01097780/document (application/pdf)

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:ebg:essewp:dr-14017

Access Statistics for this paper

More papers in ESSEC Working Papers from ESSEC Research Center, ESSEC Business School ESSEC Research Center, BP 105, 95021 Cergy, France. Contact information at EDIRC.
Bibliographic data for series maintained by Sophie Magnanou ().