Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Publikation: Working paper › Forskning
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Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. / Rønn-Nielsen, Anders; Jensen, Eva B. Vedel.
Aarhus University, 2014.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
AU - Rønn-Nielsen, Anders
AU - Jensen, Eva B. Vedel
PY - 2014
Y1 - 2014
N2 - We consider a continuous, infinitely divisible random field in Rd given as anintegral of a kernel function with respect to a Lévy basis with convolutionequivalent Lévy measure. For a large class of such random fields we computethe asymptotic probability that the supremum of the field exceeds the level xas x ! 1. Our main result is that the asymptotic probability is equivalent tothe right tail of the underlying Lévy measure.
AB - We consider a continuous, infinitely divisible random field in Rd given as anintegral of a kernel function with respect to a Lévy basis with convolutionequivalent Lévy measure. For a large class of such random fields we computethe asymptotic probability that the supremum of the field exceeds the level xas x ! 1. Our main result is that the asymptotic probability is equivalent tothe right tail of the underlying Lévy measure.
M3 - Working paper
T3 - CSGB Research Reports
BT - Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
PB - Aarhus University
ER -
ID: 109892215