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Stochastic Processes and their Applications 1
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Asymptotic [Gamma]-distribution for stochastic difference equations
Kersting, Götz - In: Stochastic Processes and their Applications 40 (1992) 1, pp. 15-28
We study asymptotic properties of non-negative random variables Xn, n[greater-or-equal, slanted]0, satisfying the recursion . If the functions g(x) and [sigma]2(x) are properly balanced at infinity, Xn is asymptotically [Gamma]-distributed in a suitable scale. This result contains several known...
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