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arXiv · 1006.2694

Multivariate linear recursions with Markov-dependent coefficients

D. Hay·R. Rastegar·A. Roitershtein
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Abstract

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.

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D. Hay, R. Rastegar, A. Roitershtein. 2010-06-14. Multivariate linear recursions with Markov-dependent coefficients. https://arxiv.org/abs/1006.2694

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