On a Random Difference Equation for Matrices and a Characterization of the Gamma Distribution.

Abstract

The present paper considers the stochastic difference equation yn = MnYn-1 + Qn where Mn and Qn are respectively random d x d matrices and random d-vectors, and obtains some reasonable sufficient conditions on Mn and Qn under which Yn converges in distribution. In addition, a particular model is examined when d = 2, in which the asymptotic independence of Y1,n and Y2n, results in a characterization of the Gamma distribution. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1984
Accession Number
ADA146858

Entities

People

  • E. S. Tollar

Organizations

  • Florida State University

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DTIC Thesaurus Topics

  • Abstracts
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  • Mathematics

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