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Asymptotic properties of multidimensional stable densities and asymmetric problems of large deviations
A. V. Nagaev Nikolaus Copernicus University
Abstract:
The paper considers asymptotic properties of the so-called asymmetric multidimensional stable distributions with the property that the minimal convex conus generated by a support of Poisson spectral measure does not coincide with $\mathbf R^d$. The density of such a distribution along some directions can decrease extremely quickly. Using methods of the conjugate Cramér distributions we find the exact asymptotic and write an asymptotic series which describes a character of the decrease.
Received: 15.09.2004
Citation:
A. V. Nagaev, “Asymptotic properties of multidimensional stable densities and asymmetric problems of large deviations”, Teor. Veroyatnost. i Primenen., 51:4 (2006), 691–711; Theory Probab. Appl., 51:4 (2007), 626–644
Linking options:
https://www.mathnet.ru/eng/tvp20https://doi.org/10.4213/tvp20 https://www.mathnet.ru/eng/tvp/v51/i4/p691
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