Continuity properties of decomposable probability measures on euclidean spaces

Stephen James Wolfe

Journal of Multivariate Analysis, 1983, vol. 13, issue 4, 534-538

Abstract: It is shown that every full eA decomposable probability measure on Rk, where A is a linear operator all of whose eigenvalues have negative real part, is either absolutely continuous with respect to Lebesgue measure or continuous singular with respect to Lebesgue measure. This result is used to characterize the continuity properties of random variables that are limits of solutions of certain stochastic difference equations.

Keywords: decomposable; probability; measure; stochastic; difference; equations (search for similar items in EconPapers)
Date: 1983
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