Stochastic recurrence equation with diagonal matrices
Probability
2022-06-28 v2
Abstract
Multivariate process satisfying affine stochastic recurrence equation with generic diagonal matrices is considered. We prove that the stationary solution is regularly varying. The results are applicable to diagonal autoregressive models.
Cite
@article{arxiv.2106.11243,
title = {Stochastic recurrence equation with diagonal matrices},
author = {Ewa Damek},
journal= {arXiv preprint arXiv:2106.11243},
year = {2022}
}
Comments
29 pages