Tails of bivariate stochastic recurrence equation with triangular matrices

by   Ewa Damek, et al.

We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions W =(W_1,W_2). Recently it has been observed that W_1,W_2 may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical "Kesten-Goldie" and "Grey" conditions, we completely characterize tail behavior of W_1,W_2. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equations.



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