Continuity properties of decomposable probability measures on euclidean spaces

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.

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Year of publication:	1983
Authors:	Wolfe, Stephen James
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 4, p. 534-538
Publisher:	Elsevier
Keywords:	decomposable probability measure stochastic difference equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199776