doiSerbia

Regularly varying functions

Jessen Hedegaard Anders (Laboratory of Actuarial Mathematics, University of Copenhagen, Copenhagen, Denmark)
Mikosch Thomas (Laboratory of Actuarial Mathematics, University of Copenhagen, Copenhagen, Denmark)

We consider some elementary functions of the components of a regularly varying random vector such as linear combinations, products, minima, maxima, order statistics, powers. We give conditions under which these functions are again regularly varying, possibly with a different index.