Non-causal strictly stationary solutions of random recurrence equations

DOI10.1016/J.SPL.2014.06.027zbMATH Open1301.60082OpenAlexW2075885069MaRDI QIDQ467006FDOQ467006

Authors Dirk-Philip Brandes, Alexander Lindner

Publication date 3 November 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.06.027

zbMATH Keywords

strictly stationarycausalnon-anticipativenon-causalrandom recurrence equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cites work

• scientific article; zbMATH DE number 50996 (Why is no real title available?)
• scientific article; zbMATH DE number 3504208 (Why is no real title available?)
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• Noncausal autoregressions for economic time series
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• Stability of perpetuities
• Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
• Strict stationarity of generalized autoregressive processes
• Strictly stationary solutions of autoregressive moving average equations
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
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• Two renewal theorems for general random walks tending to infinity

Cited in

(3)

• Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski's FPT
• A fixed point approach to model random fields
• Random linear recursions with dependent coefficients

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