Random linear recursions with dependent coefficients

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.

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Year of publication:	2010
Authors:	Ghosh, Arka P. ; Hay, Diana ; Hirpara, Vivek ; Rastegar, Reza ; Roitershtein, Alexander ; Schulteis, Ashley ; Suh, Jiyeon
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 21-22, p. 1597-1605
Publisher:	Elsevier
Keywords:	Stochastic difference equations Regular variation Markov models Chains with complete connections Regenerative structure

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

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