Title of article
Multivariate linear recursions with Markov-dependent coefficients
Author/Authors
Hay، نويسنده , , Diana and Rastegar، نويسنده , , Reza and Roitershtein، نويسنده , , Alexander، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2011
Pages
7
From page
521
To page
527
Abstract
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.
Keywords
Heavy tails , Stochastic difference equation , Multivariate random recursions , Tail asymptotic , Multivariate regular variation , Random vector equations
Journal title
Journal of Multivariate Analysis
Serial Year
2011
Journal title
Journal of Multivariate Analysis
Record number
1565564
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