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TAUBERIAN THEOREMS FOR MATRIX REGULAR VARIATION
M M Meerschaert1, H-P Scheffler2
1Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, mcubed@stt.msu.edu , URL : http://www.stt.msu.edu/~mcubed/
Abstract:
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.
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