Multivariate linear recursions with Markov-dependent coefficients

Diana Hay, Reza Rastegar and Alexander Roitershtein

Journal of Multivariate Analysis, 2011, vol. 102, issue 3, 521-527

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: Random; vector; equations; Multivariate; random; recursions; Stochastic; difference; equation; Tail; asymptotic; Heavy; tails; Multivariate; regular; variation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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