Multivariate linear recursions with Markov-dependent coefficients
DOI10.1016/j.jmva.2010.10.011zbMath1208.60065arXiv1006.2694OpenAlexW2005305480MaRDI QIDQ631617
Alexander Roitershtein, Reza Rastegar, Diana Hay
Publication date: 14 March 2011
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.2694
heavy tailsstochastic difference equationmultivariate regular variationtail asymptoticmultivariate random recursionsrandom vector equations
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) Random operators and equations (aspects of stochastic analysis) (60H25) Markov renewal processes, semi-Markov processes (60K15)
Related Items (3)
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