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math.PR2010★ 1 cited
Estimation of parameters of regularly varying distributions on convex cones
Youri Davydov, Shuyan Liu
The objective of this paper is to extend an estimation method of parameters of the stable distributions in $\rd$ to the regularly varying tails distributions in an arbitrary cone.…
math.PR2009
Transformations des lois multivariées avec queues régulières
Youri Davydov, Shuyan Liu
Let be a random vector in $\rd$ with a regularly varying tail. We consider two transformations , $f: \sd\to\sd$, and , $f: \sd\to…