We study the behavior at infinity of the tail of the stationary solution of a multidimensional linear auto-regressive process with random coefficients. We exhibit an extended class of multiplicative coefficients satisfying a condition of irreducibility and proximality that yield to a heavy tail behavior.
On étudie le comportement à l'infini de la queue de la solution stationnaire d'un processus auto-régressif linéaire multidimensionnel à coefficients aléatoires. On donne une vaste classe de coefficients multiplicatifs vérifiant une condition d'irréductibilité et de proximalité qui conduisent à un comportement de type queue polynomiale.
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Benoîte de Saporta 1; Yves Guivarc'h 1; Emile Le Page 2
@article{CRMATH_2004__339_7_499_0, author = {Beno{\^\i}te de Saporta and Yves Guivarc'h and Emile Le Page}, title = {On the multidimensional stochastic equation $ {Y}_{n+1}={A}_{n}{Y}_{n}+{B}_{n}$}, journal = {Comptes Rendus. Math\'ematique}, pages = {499--502}, publisher = {Elsevier}, volume = {339}, number = {7}, year = {2004}, doi = {10.1016/j.crma.2004.07.024}, language = {en}, }
TY - JOUR AU - Benoîte de Saporta AU - Yves Guivarc'h AU - Emile Le Page TI - On the multidimensional stochastic equation $ {Y}_{n+1}={A}_{n}{Y}_{n}+{B}_{n}$ JO - Comptes Rendus. Mathématique PY - 2004 SP - 499 EP - 502 VL - 339 IS - 7 PB - Elsevier DO - 10.1016/j.crma.2004.07.024 LA - en ID - CRMATH_2004__339_7_499_0 ER -
Benoîte de Saporta; Yves Guivarc'h; Emile Le Page. On the multidimensional stochastic equation $ {Y}_{n+1}={A}_{n}{Y}_{n}+{B}_{n}$. Comptes Rendus. Mathématique, Volume 339 (2004) no. 7, pp. 499-502. doi : 10.1016/j.crma.2004.07.024. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2004.07.024/
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