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

DOI10.1016/J.SPA.2011.10.010zbMath1237.60056arXiv1011.1685OpenAlexW2964076119MaRDI QIDQ655316

Ewa Damek, Mariusz Mirek, Dariusz Buraczewski

Publication date: 4 January 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.1685

zbMATH Keywords

Markov chainslimit theoremsstationary measuresheavy tailed random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (5)

On a directionally reinforced random walk ⋮ On the Kesten–Goldie constant ⋮ Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices ⋮ Random difference equations with subexponential innovations ⋮ Markov tail chains

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