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New results for tails of probability distributions according to their asymptotic decay

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  • Cadena, Meitner
  • Kratz, Marie

Abstract

This paper provides new properties for tails of probability distributions belonging to a class defined according to the asymptotic decay of the tails. This class contains the one of regularly varying tails of distributions. The main results concern the relation between this larger class and the maximum domains of attraction of Fréchet and Gumbel.

Suggested Citation

  • Cadena, Meitner & Kratz, Marie, 2016. "New results for tails of probability distributions according to their asymptotic decay," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 178-183.
    • Handle: RePEc:eee:stapro:v:109:y:2016:i:c:p:178-183
    DOI: 10.1016/j.spl.2015.10.018
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    References listed on IDEAS

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    1. Hadar, Josef & Russell, William R., 1971. "Stochastic dominance and diversification," Journal of Economic Theory, Elsevier, vol. 3(3), pages 288-305, September.
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    Cited by:

    1. Cadena, Meitner & Kratz, Marie & Omey, Edward, 2017. "New results on the order of functions at infinity," ESSEC Working Papers WP1708, ESSEC Research Center, ESSEC Business School.
    2. Meitner Cadena & Marie Kratz & Edward Omey, 2017. "New results on the order of functions at infinity," Working Papers hal-01558855, HAL.
    3. Cadena, Meitner & Kratz, Marie & Omey, Edward, 2019. "Characterization of a general class of tail probability distributions," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.

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