scholarly journals Dependence Testing via Extremes for Regularly Varying Models

Author(s):  
Malcolm Egan
Keyword(s):  
2007 ◽  
Vol 44 (04) ◽  
pp. 1031-1046 ◽  
Author(s):  
Denis Denisov ◽  
Bert Zwart

We consider the tail behavior of the product of two independent nonnegative random variables X and Y. Breiman (1965) has considered this problem, assuming that X is regularly varying with index α and that E{Yα+ε} < ∞ for some ε > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference equations.


2016 ◽  
Vol 274 ◽  
pp. 65-82 ◽  
Author(s):  
Jana Burkotová ◽  
Michael Hubner ◽  
Irena Rachůnková ◽  
Ewa B. Weinmüller

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