Inverse problems for regular variation of linear filters, a cancellation property for $σ$-finite measures and identification of stable laws

Martin Jacobsen, Thomas Mikosch, Jan Rosiński, Gennady Samorodnitsky

Published 2007-12-04, updated 2009-03-04Version 2

In this paper, we consider certain $\sigma$-finite measures which can be interpreted as the output of a linear filter. We assume that these measures have regularly varying tails and study whether the input to the linear filter must have regularly varying tails as well. This turns out to be related to the presence of a particular cancellation property in $\sigma$-finite measures, which in turn, is related to the uniqueness of the solution of certain functional equations. The techniques we develop are applied to weighted sums of i.i.d. random variables, to products of independent random variables, and to stochastic integrals with respect to L\'evy motions.