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arXiv:2106.11243 [math.PR]AbstractReferencesReviewsResources

Diagonal stochastic recurrence equation -- multivariate regular variation

Ewa Damek

Published 2021-06-21Version 1

Multivariate process satisfying affine stochastic recurrence equation with generic diagonal matrices is considered. We prove that the stationary solution is regularly varying. The results are applicable to diagonal autoregressive models.

Comments: 21 pages
Categories: math.PR
Subjects: 60G70, 60G10, 60H25, 62M10, 91B84
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