Multivariate linear recursions with Markov-dependent coefficients
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heavy tailsmultivariate random recursionsmultivariate regular variationrandom vector equationsstochastic difference equationtail asymptotic
Random operators and equations (aspects of stochastic analysis) (60H25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15)
Abstract: We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, regular variation out" setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results previously established for i.i.d. coefficients.
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Cited in
(9)- On random coefficient INAR(1) processes
- Random linear recursions with dependent coefficients
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