Multivariate linear recursions with Markov-dependent coefficients

Authors:
Diana Hay;Reza Rastegar;Alexander Roitershtein
Affiliations:
-;-;-
Venue:
Journal of Multivariate Analysis
Year:
2011

Citing 3
Cited 0

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Hidden Markov processes

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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.