Stochastic Models with Power-Law Tails

Thomas Mikosch, Dariusz Buraczewski og Ewa Damek

Bog | Engelsk

Beskrivelse

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equationX=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, wh…