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arXiv · 2110.04546

Tails of bivariate stochastic recurrence equation with triangular matrices

Ewa Damek·Muneya Matsui
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Abstract

We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions ${\bf W} =(W_1,W_2)$. Recently it has been observed that $W_1,W_2$ may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical "Kesten-Goldie" and "Grey" conditions, we completely characterize tail behavior of $W_1,W_2$. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equations.

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Ewa Damek, Muneya Matsui. 2021-10-09. Tails of bivariate stochastic recurrence equation with triangular matrices. https://arxiv.org/abs/2110.04546

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