Tails of bivariate stochastic recurrence equation with triangular matrices

DOI10.1016/J.SPA.2022.04.008zbMATH Open1495.60044arXiv2110.04546OpenAlexW3206371137WikidataQ113863842 ScholiaQ113863842MaRDI QIDQ2145773FDOQ2145773

Authors: Ewa Damek, Muneya Matsui 

Publication date: 20 June 2022

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

Abstract: We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions $$. Recently it has been observed that $W_1,W_2$ may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical "Kesten-Goldie" and "Grey" conditions, we completely characterize tail behavior of $W_1,W_2$. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equations.

Full work available at URL: https://arxiv.org/abs/2110.04546

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zbMATH Keywords

regular variationautoregressive modelsstochastic recurrence equationtriangular matrixKesten's theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25)

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Uses Software

• QRM

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