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Tail indices for $$\mathbf{A}\mathbf{X}+\mathbf{B}$$ A X + B Recursion with Triangular Matrices |
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| Authors: | Matsui Muneya Świątkowski Witold |
| Institution: | 1.Department of Business Administration, Nanzan University, 18 Yamazato-cho, Showa-ku, Nagoya, 466-8673, Japan ;2.Institute of Mathematics, University of Wroc?aw, Pl. Grunwaldzki 2/4, 50-384, Wroc?aw, Poland ; |
| Abstract: | Journal of Theoretical Probability - We study multivariate stochastic recurrence equations (SREs) with triangular matrices. If coefficient matrices of SREs have strictly positive entries, the... |
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