{
  "id": "2106.11243",
  "version": "v1",
  "published": "2021-06-21T16:39:39.000Z",
  "updated": "2021-06-21T16:39:39.000Z",
  "title": "Diagonal stochastic recurrence equation -- multivariate regular variation",
  "authors": [
    "Ewa Damek"
  ],
  "comment": "21 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2021-06-21T16:39:39.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G70",
      "60G10",
      "60H25",
      "62M10",
      "91B84"
    ],
    "keywords": [
      "diagonal stochastic recurrence equation",
      "multivariate regular variation",
      "affine stochastic recurrence equation",
      "satisfying affine stochastic recurrence",
      "multivariate process satisfying affine stochastic"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 21,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}