Title: On the stationary distribution of some extremal Markovian sequences
Abstract: This paper is concerned with the Markovian sequence X n = Z n max{ X n– 1 , Y n }, n ≧ 1, where X 0 is any random variable, { Z n } and { Y n } are independent sequences of i.i.d. random variables both independent of X 0 . We consider the problem of characterizing the class of stationary distributions arising in such a model and give criteria for a d.f. to belong to it. We develop further results when the Z n 's are random variables concentrated on the interval [0, 1], namely having a beta distribution.
Publication Year: 1990
Publication Date: 1990-06-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 13
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