Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure

Publikation: Working paper › Forskning

Standard

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

Harvard

Rønn-Nielsen, A & Jensen, EBV 2014 'Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure' Aarhus University.

APA

Rønn-Nielsen, A., & Jensen, E. B. V. (2014). Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. Aarhus University. CSGB Research Reports Bind 2014 Nr. 9

Vancouver

Rønn-Nielsen A, Jensen EBV. Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. Aarhus University. 2014.

Author

Rønn-Nielsen, Anders ; Jensen, Eva B. Vedel. / Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. Aarhus University, 2014. (CSGB Research Reports; Nr. 9, Bind 2014).

Bibtex

@techreport{f028ca677b9740f68a54f9305b3cb672,
title = "Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent L{\'e}vy measure",
abstract = "We consider a continuous, infinitely divisible random field in Rd given as anintegral of a kernel function with respect to a L{\'e}vy basis with convolutionequivalent L{\'e}vy 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 L{\'e}vy measure.",
author = "Anders R{\o}nn-Nielsen and Jensen, {Eva B. Vedel}",
year = "2014",
language = "English",
series = "CSGB Research Reports",
number = "9",
publisher = "Aarhus University",
type = "WorkingPaper",
institution = "Aarhus University",

}

RIS

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