Tail-homogeneity of stationary measures for some multidimensional stochastic recursions
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The authors are concerned with the stochastic recursion \(X_{n+1}=M_{n+1}X_{n}+Q_{n+1},\;n\geq 0,\) where the \(\left( Q_{n},M_{n}\right) \) are i.i.d. random variables. Here, the \(Q_{n},\;n\geq 0\), are translations while the \(M_{n},\;n\geq 0,\) are similarities of \( ^{d}\). It is proved that if the recursion has a unique stationary measure \( \nu \) with unbounded support, then the weak limit of a properly dilated \(\nu \) exists and defines a homogeneous tail measure \(\Lambda .\) The structure of \(\Lambda \) is studied and the supports of \(\nu \) and \(\Lambda \) are compared. In particular, a product formula for \(\Lambda \) is derived.
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Cited in
(36)- Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
- Fluctuations of Biggins' martingales at complex parameters
- On the Rajchman property for self-similar measures on \(\mathbb{R}^d\)
- Tails of bivariate stochastic recurrence equation with triangular matrices
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- Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
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- Heavy tailed solutions of multivariate smoothing transforms
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- Homogeneity at infinity of stationary solutions of multivariate affine stochastic recursions
- Precise tail index of fixed points of the two-sided smoothing transform
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- On the Kesten-Goldie constant
- Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Markov tail chains
- Affine stochastic equation with triangular matrices
- Quasistochastic matrices and Markov renewal theory
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- On the tail behavior of a class of multivariate conditionally heteroskedastic processes
- A simple proof of heavy tail estimates for affine type Lipschitz recursions
- Analysing heavy-tail properties of stochastic gradient descent by means of stochastic recurrence equations
- Stationary random measures on homogeneous spaces
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