Can the tail for maximum of continuous random field be significantly more heavy than maximum of tails?
classification
🧮 math.PR
keywords
maximumtailscontinuousdistributionheavyrandomtailapparatus
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We construct an example of a continuous centered random process with light tails of finite-dimensional distribution but with (relatively) heavy tail of maximum distribution. The apparatus for tails comparison are embedding results for Orlicz and Grand Lebesgue Spaces (GLS).
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