Multivariate linear recursions with Markov-dependent coefficients
classification
🧮 math.PR
keywords
coefficientslinearmarkov-dependentmultivariateregularvariationdistributionestablished
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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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