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Markov chains, AR models, and regular variation
Probability · Submitted 22 Oct 2025
abstract compiled · 2026-09-23 · no language-model review
The authors' main claim We prove that the precise structure of the underlying chain affects the form of the associated spectral measure.
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We investigate multivariate regular variation in the context of time-homogeneous Markov chains on general vector spaces and in random coefficient linear models. In the first part, we show that the regular variation of the stationary distribution can be derived from that of the innovations, provided that the chain satisfies a certain monotonicity condition with respect to a gauge function. In the second part, we study random linear models with random coefficients defined by an explicit iterative scheme. We prove that the precise structure of the underlying chain affects the form of the associated spectral measure.
background contribution method result interpretation main claim
| # | sentence | role | the authors' own work | states the main conclusion | strength |
|---|---|---|---|---|---|
| s0 | We investigate multivariate regular variation in the context of time-homogeneous Markov chains on general vector spaces and in random coefficient linear models. | contribution 0.96 | 0.88 | 0.09 | asserted 0.63 |
| s1 | In the first part, we show that the regular variation of the stationary distribution can be derived from that of the innovations, provided that the chain satisfies a certain monotonicity condition with respect to a gauge function. | result 0.95 | 0.94 | 0.31 | asserted 1.00 |
| s2 | In the second part, we study random linear models with random coefficients defined by an explicit iterative scheme. | contribution 0.81 | 0.82 | 0.04 | asserted 0.77 |
| s3 | We prove that the precise structure of the underlying chain affects the form of the associated spectral measure. | result 1.00 | 0.90 | 0.34 | asserted 1.00 |
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Original abstract
We investigate multivariate regular variation in the context of time-homogeneous Markov chains on general vector spaces and in random coefficient linear models. In the first part, we show that the regular variation of the stationary distribution can be derived from that of the innovations, provided that the chain satisfies a certain monotonicity condition with respect to a gauge function. In the second part, we study random linear models with random coefficients defined by an explicit iterative scheme. We prove that the precise structure of the underlying chain affects the form of the associated spectral measure.
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