Transformations des lois multivariées avec queues régulières

Abstract

Let $X$ be a random vector in $\rd$ with a regularly varying tail. We consider two transformations $\Vert X\Vert f(\frac{X}{\Vert X\Vert })$, $f: \sd\to\sd$, and $Xf(\frac{X}{\Vert X\Vert })$, $f: \sd\to \mathbb{R}_+$. Some sufficient conditions for preserving the property of regularity of the tail for this kind of transformations are given.

11 pages