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Tail Properties of Correlation Measures

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Abstract

We study the tail properties of a class of Borel probability measures, called correlation measures. We show that (i) there exist correlation measures with exponentially decaying tail probabilities, and (ii) roughly speaking, no correlation measure may have smaller tail probabilities than a Gaussian measure.

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Authors and Affiliations

  1. Department of Mathematics, Furman University, Greenville, South Carolina, 29613-1148, U.S.A.

    Thomas M. Lewis

  2. Department of Statistics, The University of Auckland, Private Bag 92019, Auckland, 1020, New Zealand

    Geoffrey Pritchard

Authors
  1. Thomas M. Lewis
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  2. Geoffrey Pritchard
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Lewis, T.M., Pritchard, G. Tail Properties of Correlation Measures. Journal of Theoretical Probability 16, 771–788 (2003). https://doi.org/10.1023/A:1025680718292

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