Transformations des lois multivariées avec queues régulières

Youri Davydov, Shuyan Liu

Published 2009-03-05Version 1

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.