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Generalized regular variation of second order

Part of: Inversion theorems Real functions

Published online by Cambridge University Press:  09 April 2009

Laurens de Haan  and
Ulrich Stadtmüller
Laurens de Haan
Affiliation:
Erasmus University Econometric Institute P. O. Box 1738 3000 DR Rotterdam The Netherlands
Ulrich Stadtmüller
Affiliation:
Universität Ulm Abt. Math. III 89069 Ulm Germany e-mail: [email protected]
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Abstract

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Assume that for a measurable funcion f on (0, ∞) there exist a positive auxiliary function a(t) and some γ ∈ R such that . Then f is said to be of generalized regular variation. In order to control the asymptotic behaviour of certain estimators for distributions in extreme value theory we are led to study regular variation of second order, that is, we assume that exists non-trivially with a second auxiliary function a1(t). We study the possible limit functions in this limit relation (defining generalized regular variation of second order) and their domains of attraction. Furthermore we give the corresponding relation for the inverse function of a monotone f with the stated property. Finally, we present an Abel-Tauber theorem relating these functions and their Laplace transforms.

Keywords

Regular variationSecond order variationlimit functionsdomain of attractioninverse functionsLaplace transformAbelian theoremTauberian theorem

MSC classification

Secondary: 26A12: Rate of growth of functions, orders of infinity, slowly varying functions 40E05: Tauberian theorems, general
Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 61 , Issue 3 , December 1996 , pp. 381 - 395
Copyright
Copyright © Australian Mathematical Society 1996

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