Non-causal strictly stationary solutions of random recurrence equations

DOI10.1016/j.spl.2014.06.027zbMath1301.60082OpenAlexW2075885069MaRDI QIDQ467006

Dirk-Philip Brandes, Alexander M. Lindner

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.06.027

zbMATH Keywords

strictly stationarycausalnon-anticipativenon-causalrandom recurrence equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Random operators and equations (aspects of stochastic analysis) (60H25)

Cites Work

• Unnamed Item
• Unnamed Item
• Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
• Time series: theory and methods.
• Strict stationarity of generalized autoregressive processes
• Stability of perpetuities
• Two renewal theorems for general random walks tending to infinity
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Strictly stationary solutions of autoregressive moving average equations
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Noncausal Autoregressions for Economic Time Series

This page was built for publication: Non-causal strictly stationary solutions of random recurrence equations