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
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
Journal title :
Journal of Multivariate Analysis