Multivariate linear recursions with Markov-dependent coefficients
DOI10.1016/j.jmva.2010.10.011zbMath1208.60065arXiv1006.2694MaRDI QIDQ631617
Reza Rastegar, Alexander Roitershtein, 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 tails; stochastic difference equation; multivariate regular variation; tail asymptotic; multivariate random recursions; random vector equations
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60H25: Random operators and equations (aspects of stochastic analysis)
60K15: Markov renewal processes, semi-Markov processes
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)
- Implicit renewal theory and tails of solutions of random equations
- Recurrence and transience criteria for random walk in a random environment
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Multivariate Markov-switching ARMA processes with regularly varying noise
- Random difference equations and renewal theory for products of random matrices
- One limit distribution for a random walk on the line
- Regular variation in the tail behaviour of solutions of random difference equations
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Regular variation of GARCH processes.
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- A characterization of multivariate regular variation.
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- Limit theorems for one-dimensional transient random walks in Markov environments
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Random linear recursions with dependent coefficients
- One-dimensional linear recursions with Markov-dependent coefficients
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Asymptotic Analysis of Random Walks
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- Point processes, regular variation and weak convergence
- Moving averages with random coefficients and random coefficient autoregressive models
- The Evaluation of Risky Investments with Random Timing of Cash Returns
- Iterated Random Functions
- Zipf's Law for Cities: An Explanation
- The fractional linear probability generating function in the random environment branching process
- Heavy tailed hidden semi-markov models
- Stability of linear stochastic difference equations in strategically controlled random environments
- Hidden Markov processes
- Limit laws for a stochastic process and random recursion arising in probabilistic modelling
- On the foundations of multivariate heavy-tail analysis
- Asymptotic distribution theory for Hoare's selection algorithm
- The asymptotic behaviour of extinction probability in the Smith–Wilkinson branching process
- Heavy tail properties of stationary solutions of multidimensional stochastic recursions
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
