Multivariate linear recursions with Markov-dependent coefficients

2010/06/14 by Diana Hay, D. Hay, Hay, D. +6
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and statistical mechanics #math.PR

paper · pdf · doi:10.48550/arxiv.1006.2694

arxiv created 2010/06/14 · openalex publication_date 2010/06/14 · arxiv updated 2010/06/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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