Multivariate linear recursions with Markov-dependent coefficients

JOURNAL OF MULTIVARIATE ANALYSIS

卷:102

Article

Hay, Diana¹  Rastegar, Reza¹  Roitershtein, Alexander¹ 

[1] Iowa State Univ, Dept Math, Ames, IA 50011 USA

关键词: Random vector equations;    Multivariate random recursions;    Stochastic difference equation;    Tail asymptotic;    Heavy tails;    Multivariate regular variation;   

DOI  :  10.1016/j.jmva.2010.10.011

来源: Elsevier

【 摘 要 】

We study a linear recursion with random Markov-dependent coefficients. In a regular variation in, regular variation out setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results previously established for i.i.d. coefficients. (C) 2010 Elsevier Inc. All rights reserved.

【 授权许可】

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