Multivariate linear recursions with Markov-dependent coefficients |
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Authors: | Diana HayReza Rastegar Alexander Roitershtein |
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Affiliation: | Department of Mathematics, Iowa State University, Ames, IA 50011, USA |
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Abstract: | We study a linear recursion with random Markov-dependent coefficients. In a “regular variation in, regular variation out” setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results previously established for i.i.d. coefficients. |
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Keywords: | primary, 60H25, 60K15 secondary, 60J10, 60J20 |
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