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J. Appl. Probab. Volume 51A (2014), 229-248.
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Applied Probability Trust
General inverse problems for regular variation
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Ewa Damek, Thomas Mikosch, Jan Rosiński, and Gennady Samorodnitsky
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Forthcoming papers Advances in Applied Probability
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Abstract Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at understanding whether the regular variation of a transformed random object is caused by regular variation of components of the original random structure. In this paper we build on previous work, and derive results in the multivariate case and in situations where regular variation is not restricted to one particular direction or quadrant.
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