Multivariate linear recursions with Markov-dependent coefficients
Probability
2010-06-15 v1
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.
Cite
@article{arxiv.1006.2694,
title = {Multivariate linear recursions with Markov-dependent coefficients},
author = {D. Hay and R. Rastegar and A. Roitershtein},
journal= {arXiv preprint arXiv:1006.2694},
year = {2010}
}