A characterization of multivariate regular variation [PDF]
The Annals of Applied Probability, 2002 We establish the equivalence between the multivariate regular variation of a random vector and the univariate regular variation of all linear combinations of the components of such a vector.
Basrak, Bojan +2 more
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Operator Regular Variation of Multivariate Liouville Distributions [PDF]
, 2023 Operator regular variation reveals general power-law distribution tail decay phenomena using operator scaling, that includes multivariate regular variation with scalar scaling as a special case. In this paper, we show that a multivariate Liouville distribution is operator regularly varying if its driving function is univariate regularly varying.
Li, Haijun
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Diversification Benefits Under Multivariate Second Order Regular Variation [PDF]
SSRN Electronic Journal, 2017 We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk .
Bikramjit Das, Marie Kratz
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Extreme geometric quantiles in a multivariate regular variation framework [PDF]
Extremes, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Girard, Stéphane, Stupfler, Gilles
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Empirical likelihood based testing for multivariate regular variation
The Annals of StatisticszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Einmahl, John H. J. +2 more
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Multivariate regular variation of preferential attachment models [PDF]
Advances in Applied ProbabilityAbstract We use the framework of multivariate regular variation to analyse the extremal behaviour of preferential attachment models. To this end, we follow a directed linear preferential attachment model for a random, heavy-tailed number of steps in time and treat the incoming edge count of all existing nodes as a random vector of ...
Anja Janssen, Max Ziegenbalg
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Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations [PDF]
Journal of Multivariate Analysis, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Begoña Fernández, Nelson Muriel
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Empirical Likelihood Based Testing for Multivariate Regular Variation [PDF]
, 2023 Multivariate regular variation is a common assumption in the statistics literature and needs to be verified in real-data applications. We develop a novel hypothesis test for multivariate regular variation, employing localized empirical likelihood. We establish the weak convergence of the test statistic to a non-standard, distribution-free limit and ...
Einmahl, John, Krajina, Andrea
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Multivariate Regular Variation on Cones: Application to Extreme Values, Hidden Regular Variation and Conditioned Limit Laws [PDF]
, 2007 Multivariate Regular Variation on Cones: Application to Extreme Values, Hidden Regular Variation and Conditioned Limit ...
Resnick, S.
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European Sitting Championship: Prevalence and Correlates of Self-Reported Sitting Time in the 28 European Union Member States. [PDF]
PLoS ONE, 2016 OBJECTIVE:Sedentary behaviour is increasingly recognized as an important health risk, but comparable data across Europe are scarce. The objective of this study was to explore the prevalence and correlates of self-reported sitting time in adults across ...
Anne Loyen +4 more
doaj +1 more source