Tails of bivariate stochastic recurrence equation with triangular matrices

DOI10.1016/J.SPA.2022.04.008MaRDI QIDQ2145773zbMATH OpenOpenAlexWikidataFDO

Authors Ewa Damek, Muneya Matsui

Publication date 20 June 2022

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

Full work available at URL https://arxiv.org/abs/2110.04546

zbMATH Keywords

regular variationautoregressive modelsstochastic recurrence equationtriangular matrixKesten's theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions $$. Recently it has been observed that $W_1,W_2$ may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical "Kesten-Goldie" and "Grey" conditions, we completely characterize tail behavior of $W_1,W_2$. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equations.

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Cited in

(3)

• Affine stochastic equation with triangular matrices
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• Tail indices for \(AX+B\) recursion with triangular matrices

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