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math.PR2010
Multivariate linear recursions with Markov-dependent coefficients
D. Hay, R. Rastegar, A. Roitershtein
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 multivari…
math.PR2010
Random linear recursions with dependent coefficients
A. P. Ghosh, D. Hay, V. Hirpara +4
We consider the equation R(n)=Q(n)+M(n) R(n-1), with random non-i.i.d. coefficients (Q(n),M(n)), and show that the distribution tails of the stationary solution to this equation ar…