منابع مشابه
Multivariate linear recursions with Markov-dependent coefficients
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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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2000
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.30.1.504628