Random linear recursions with dependent coefficients

Arka P. Ghosh, Diana Hay, Vivek Hirpara, Reza Rastegar, Alexander Roitershtein, Ashley Schulteis and Jiyeon Suh

Statistics & Probability Letters, 2010, vol. 80, issue 21-22, 1597-1605

Abstract: We consider the equation Rn=Qn+MnRn-1, with random non-i.i.d. coefficients , and show that the distribution tails of the stationary solution to this equation are regularly varying at infinity.

Keywords: Stochastic; difference; equations; Regular; variation; Markov; models; Chains; with; complete; connections; Regenerative; structure (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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