Tail indices for \(AX+B\) recursion with triangular matrices (Q2664524): Difference between revisions

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Tail indices for \(AX+B\) recursion with triangular matrices
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    Tail indices for \(AX+B\) recursion with triangular matrices (English)
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    17 November 2021
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    stochastic recurrence equation
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    Kesten's theorem
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    regular variation
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    multivariate GARCH(1, 1) processes
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    triangular matrices
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