Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems (Q655316): Difference between revisions

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English	Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems	scientific article

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scholarly article

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title

Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems (English)

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Stochastic Processes and their Applications

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publication date

4 January 2012

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full work available at URL

https://arxiv.org/abs/1011.1685

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zbMATH Keywords

Markov chains

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stationary measures

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heavy tailed random variables

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limit theorems

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MaRDI profile type

MaRDI publication profile

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cites work

Tail behaviour of stationary solutions of random difference equations: the case of regular matrices

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Stable limits for sums of dependent infinite variance random variables

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A characterization of multivariate regular variation.

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A Central Limit Theorem for Contractive Stochastic Dynamical Systems

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Support theorems for the Radon transform and Cramér-Wold theorems

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Q5525727

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Convergence to stable laws for a class of multidimensional stochastic recursions

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Tail-homogeneity of stationary measures for some multidimensional stochastic recursions

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Q4726487

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Limit theory for bilinear processes with heavy-tailed noise

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Iterated Random Functions

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Q3059475

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Noncommuting Random Products

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Products of Random Matrices

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Implicit renewal theory and tails of solutions of random equations

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Regular variation in the tail behaviour of solutions of random difference equations

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One limit distribution for a random walk on the line

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Heavy tail properties of stationary solutions of multidimensional stochastic recursions

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On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks

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Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness

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Multivariate linear recursions with Markov-dependent coefficients

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Random difference equations and renewal theory for products of random matrices

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Q4943988

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The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.

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Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps

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Moving averages with random coefficients and random coefficient autoregressive models

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A central limit theorem for iterated random functions

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Identifiers

zbMATH Open document ID

1237.60056

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DOI

10.1016/j.spa.2011.10.010

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:655316

@@ Property / cites work @@
+Tail behaviour of stationary solutions of random difference equations: the case of regular matrices
+Normal rank
@@ Property / cites work @@
+Stable limits for sums of dependent infinite variance random variables
+Normal rank
@@ Property / cites work @@
+A characterization of multivariate regular variation.
+Normal rank
@@ Property / cites work @@
+A Central Limit Theorem for Contractive Stochastic Dynamical Systems
+Normal rank
@@ Property / cites work @@
+Support theorems for the Radon transform and Cramér-Wold theorems
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence to stable laws for a class of multidimensional stochastic recursions
+Normal rank
@@ Property / cites work @@
+Tail-homogeneity of stationary measures for some multidimensional stochastic recursions
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for bilinear processes with heavy-tailed noise
+Normal rank
@@ Property / cites work @@
+Iterated Random Functions
@@ Property / cites work: Iterated Random Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3059475
@@ Property / cites work: Q3059475 / rank @@
+Normal rank
@@ Property / cites work @@
+Noncommuting Random Products
@@ Property / cites work: Noncommuting Random Products / rank @@
+Normal rank
@@ Property / cites work @@
+Products of Random Matrices
@@ Property / cites work: Products of Random Matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Implicit renewal theory and tails of solutions of random equations
+Normal rank
@@ Property / cites work @@
+Regular variation in the tail behaviour of solutions of random difference equations
+Normal rank
@@ Property / cites work @@
+One limit distribution for a random walk on the line
+Normal rank
@@ Property / cites work @@
+Heavy tail properties of stationary solutions of multidimensional stochastic recursions
+Normal rank
@@ Property / cites work @@
+On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks
+Normal rank
@@ Property / cites work @@
+Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness
+Normal rank
@@ Property / cites work @@
+Multivariate linear recursions with Markov-dependent coefficients
+Normal rank
@@ Property / cites work @@
+Random difference equations and renewal theory for products of random matrices
+Normal rank
@@ Property / cites work @@
+Q4943988
@@ Property / cites work: Q4943988 / rank @@
+Normal rank
@@ Property / cites work @@
+The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
+Normal rank
@@ Property / cites work @@
+Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps
+Normal rank
@@ Property / cites work @@
+Moving averages with random coefficients and random coefficient autoregressive models
+Normal rank
@@ Property / cites work @@
+A central limit theorem for iterated random functions
+Normal rank