Stochastic recurrence equation with diagonal matrices

2021/06/21 by Damek, Ewa
#60G10 #60H25 #91B84 #FOS: Mathematics #Primary: 60G70 #Probability (math.PR) #secondary: 62M10

paper · doi:10.48550/arxiv.2106.11243

Abstract

Multivariate process satisfying affine stochastic recurrence equation with generic diagonal matrices is considered. We prove that the stationary solution is regularly varying. The results are applicable to diagonal autoregressive models.

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