Random linear recursions with dependent coefficients

Details Random linear recursions with dependent coefficients Random linear recursions with dependent coefficients

2010-06-14

arxiv.org/abs/1006.2690v1

Mathematics

Probability

Scientific paper

We consider the equation R(n)=Q(n)+M(n) R(n-1), with random non-i.i.d.
coefficients (Q(n),M(n)), and show that the distribution tails of the
stationary solution to this equation are regularly varying at infinity.

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