Multivariate linear recursions with Markov-dependent coefficients

Details Multivariate linear recursions with Markov-dependent coefficients Multivariate linear recursions with Markov-dependent coefficients

2010-06-14

arxiv.org/abs/1006.2694v1

Mathematics

Probability

Scientific paper

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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