Tauberian theorems for matrix regular variation

Karamata's Tauberian theorem relates the asymptotics of a nondecreasing right-continuous function to that of its Laplace-Stieltjes transform, using regular variation. This paper establishes the analogous Tauberian theorem for matrix-valued functions. Some applications to time series analysis ar...

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Bibliographic Details
Published in:Transactions of the American Mathematical Society 2013-04, Vol.365 (4), p.2207-2221
Main Authors: MEERSCHAERT, M. M., SCHEFFLER, H.-P.
Format: Article
Language:English
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Summary:Karamata's Tauberian theorem relates the asymptotics of a nondecreasing right-continuous function to that of its Laplace-Stieltjes transform, using regular variation. This paper establishes the analogous Tauberian theorem for matrix-valued functions. Some applications to time series analysis are indicated.
ISSN:0002-9947
1088-6850
DOI:10.1090/S0002-9947-2012-05751-5