Thomas Mikosch: 1 book
Stochastic Models with Power-Law Tails
The Equation X = AX + B
Language: English
Release Date: July 4, 2016
In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=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, where (A_t,B_t) constitute an iid sequence,...
