Affine stochastic equation with triangular matrices

DOI10.1080/10236198.2017.1422249zbMath1427.60058arXiv1806.08985OpenAlexW3174471161MaRDI QIDQ5243411

Ewa Damek, Jacek Zienkiewicz

Publication date: 18 November 2019

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.08985

zbMATH Keywords

stationary solutiontriangular matricesmatrix recursionmultivariate affine stochastic equationregular behavior at infinity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05) Matrix equations and identities (15A24)

Related Items (5)

Tails of bivariate stochastic recurrence equation with triangular matrices ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Tail indices for \(AX+B\) recursion with triangular matrices ⋮ Asymptotically linear iterated function systems on the real line ⋮ Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes

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