Damek, Ewa5; Mikosch, Thomas Valentin6; Rosinski, Jan3; Samorodnitsky, Gennady4
1 Department of Mathematical Sciences, Faculty of Science, Københavns Universitet2 University of Wroclaw3 University of Tennessee4 Cornell University5 University of Wroclaw6 Department of Mathematical Sciences, Faculty of Science, Københavns Universitet
Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at understanding whether the regular variation of a transformed random object is caused by regular variation of components of the original random structure. In this paper we build on previous work, and derive results in the multivariate case and in situations where regular variation is not restricted to one particular direction or quadrant.
Journal of Applied Probability, 2014, Vol 51A, p. 229-248