On the stationary tail index of iterated random Lipschitz functions

DOI10.1016/j.spa.2015.08.004zbMath1339.60019arXiv1409.2663OpenAlexW2122061992MaRDI QIDQ898406

Gerold Alsmeyer

Publication date: 8 December 2015

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

Full work available at URL: https://arxiv.org/abs/1409.2663

zbMATH Keywords

Markov chainiterated function systemtail indeximplicit renewal theorystochastic fixed-point equationrandom Lipschitz functionsAR(1)-modelARCH errorsrandom logistic transformstationary lawstochastic Ricker model

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Random operators and equations (aspects of stochastic analysis) (60H25) Large deviations (60F10) Renewal theory (60K05)

Related Items (8)

Large excursions and conditioned laws for recursive sequences generated by random matrices ⋮ On uniqueness of invariant measures for random walks on ⋮ Asymptotically linear iterated function systems on the real line ⋮ On the Kesten–Goldie constant ⋮ Implicit renewal theory in the arithmetic case ⋮ Iterated random functions and regularly varying tails ⋮ A simple proof of heavy tail estimates for affine type Lipschitz recursions ⋮ Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions

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