Multivariate linear recursions with Markov-dependent coefficients

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.

MoreLess

Year of publication:	2011
Authors:	Hay, Diana ; Rastegar, Reza ; Roitershtein, Alexander
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 102.2011, 3, p. 521-527
Publisher:	Elsevier
Keywords:	Random vector equations Multivariate random recursions Stochastic difference equation Tail asymptotic Heavy tails Multivariate regular variation

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

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

Persistent link: https://www.econbiz.de/10008861610