Random linear recursions with dependent coefficients
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- Stylianos Perrakis & Claude Henin, 1974. "The Evaluation of Risky Investments with Random Timing of Cash Returns," Management Science, INFORMS, vol. 21(1), pages 79-86, September.
- de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
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- Jess Benhabib & Chetan Dave, 2011. "Learning, Large Deviations and Rare Events," NBER Working Papers 16816, National Bureau of Economic Research, Inc.
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Keywords
Stochastic difference equations Regular variation Markov models Chains with complete connections Regenerative structure;Statistics
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