Article ID Journal Published Year Pages File Type
1146047 Journal of Multivariate Analysis 2011 7 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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Multivariate linear recursions with Markov-dependent coefficients
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