Laleh Tafakori

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In this paper we study the fractional moments of the stationary solution to the stochastic recurrence equation Xt = At Xt−1 + Bt, t ∈ Z, where ((At, Bt)) t∈Z is an iid bivariate sequence. We derive recursive formulas for the fractional moments E|X0| p , p ∈ R. Special attention is given to the case when Bt has an Erlang distribution. We provide various(More)
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