Stochastic recurrence equation with diagonal matrices
Ewa Damek
TL;DR
This paper studies multivariate stochastic recurrence equations with diagonal matrices, proving the stationary solutions are regularly varying, which enhances understanding of diagonal autoregressive models in stochastic processes.
Contribution
It establishes the regular variation of stationary solutions for affine stochastic recurrence equations with diagonal matrices, extending theoretical understanding.
Findings
Stationary solutions are regularly varying.
Results applicable to diagonal autoregressive models.
Provides theoretical foundation for multivariate stochastic processes.
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.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling