Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146047 | Journal of Multivariate Analysis | 2011 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Diana Hay, Reza Rastegar, Alexander Roitershtein,