Sebastian Mentemeier

activity

20122024

most citedHeavy tailed solutions of multivariate smoothing transforms

24 citations · 24 across the 4 of their papers we have counts for

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3 papers · 1 filter

math.PR2016

Large excursions and conditioned laws for recursive sequences generated by random matrices

Jeffrey F. Collamore, Sebastian Mentemeier

We determine the large exceedance probabilities and large exceedance paths for the matrix recursive sequence $V_{n} = M_{n} V_{n - 1} + Q_{n}, n = 1, 2, \dots,$ where ${M_{n}}$ is an i.i.d…

math.PR2012

Precise tail index of fixed points of the two-sided smoothing transform

Gerold Alsmeyer, Ewa Damek, Sebastian Mentemeier

We consider real-valued random variables R satisfying the distributional equation R \eqdist \sum_{k=1}^{N}T_k R_k + Q, where R_1,R_2,... are iid copies of R and independent of T=(Q…

math.PR2012★ 24 cited

Heavy tailed solutions of multivariate smoothing transforms

Dariusz Buraczewski, Ewa Damek, Sebastian Mentemeier +1

Let $N > 1$ be a fixed integer and $(C_{1}, ..., C_{N}, Q)$ a random element of $G L (d, R)^{N} x R^{d}$ . We consider solutions of multivariate smoothing transforms, i.e. random variables $R…