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arxiv: 0903.1005 · v1 · submitted 2009-03-05 · 🧮 math.PR

Transformations des lois multivari\'ees avec queues r\'eguli\`eres

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keywords transformationsfractailavecconditionsconsideregulieres
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Let $X$ be a random vector in $\rd$ with a regularly varying tail. We consider two transformations $\|X\|f(\frac{X}{\|X\|})$, $f: \sd\to\sd$, and $Xf(\frac{X}{\|X\|})$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions for preserving the property of regularity of the tail for this kind of transformations are given.

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