Random linear recursions with dependent coefficients
Probability
2010-06-15 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1006.2690,
title = {Random linear recursions with dependent coefficients},
author = {A. P. Ghosh and D. Hay and V. Hirpara and R. Rastegar and A. Roitershtein and A. Schulteis and J. Suh},
journal= {arXiv preprint arXiv:1006.2690},
year = {2010}
}