Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices

Abstract

Given a sequence $(M_{n},Q_{n})_{n\ge 1}$ of i.i.d.\ random variables with generic copy $(M,Q) \in GL(d, \R) \times \R^d$, we consider the random difference equation (RDE) $$ R_{n}=M_{n}R_{n-1}+Q_{n}, $$ $n\ge 1$, and assume the existence of $κ>0$ such that $$ \lim_{n \to \infty}(\E{\norm{M_1 ... M_n}^κ})^{\frac{1}{n}} = 1 .$$ We prove, under suitable assumptions, that the sequence $S_n = R_1 + ... + R_n$, appropriately normalized, converges in law to a multidimensional stable distribution with index $κ$. As a by-product, we show that the unique stationary solution $R$ of the RDE is regularly varying with index $κ$, and give a precise description of its tail measure. This extends the prior work http://arxiv.org/abs/1009.1728v3 .