Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence |
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| Authors: | Sidney Resnick |
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| Affiliation: | (1) School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY, 14853 |
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| Abstract: | We survey the related asymptotic properties of multivariate distributions; (i) asymptotic independence, (ii) hidden regular variation, and (iii) multivariate second order regular variation. Connections and implications are discussed. The point of view of convergence of measures is emphasized in formulations because we are interested in the concepts being coordinate system free, whenever possible. |
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| Keywords: | heavy tails regular variation Pareto tails second order regular variation asymptotic independence |
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