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Title:

Tail probabilities of random linear functions of regularly varying random vectors

Document type:
Zeitungsartikel
Author(s):
Das, B., Fasen-Hartmann, V., and Klüppelberg, C.
Abstract:
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in [0,∞)d under random linear transformations. This allows us to compute probabilities of a variety of tail events, which classical multivariate regularly varying models would report to be asymptotically negligible. We illustrate our findings with applications to risk assessment...     »
Keywords:
Bipartite graphs; Heavy-tails; Multivariate regular variation; Networks
Dewey Decimal Classification:
510 Mathematik
Journal title:
Extremes - Statistical Theory and Applications in Science, Engineering and Economics
Year:
2022
Journal volume:
22
Year / month:
2022-05
Quarter:
2. Quartal
Month:
May
Language:
en
Fulltext / DOI:
doi:10.1007/s10687-021-00432-4
Publisher:
Springer
Print-ISSN:
1386-1999
E-ISSN:
1572-915X
Status:
Erstveröffentlichung
Submitted:
21.10.2020
Accepted:
01.10.2021
Date of publication:
26.05.2022
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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