Tail probabilities for infinite series of regularly varying random vectors

Abstract

A random vector $X$ with representation $X=∑_{j≥0}A_jZ_j$ is considered. Here, $(Z_j)$ is a sequence of independent and identically distributed random vectors and $(A_j)$ is a sequence of random matrices, ‘predictable’ with respect to the sequence $(Z_j)$. The distribution of $Z_1$ is assumed to be multivariate regular varying. Moment conditions on the matrices $(A_j)$ are determined under which the distribution of $X$ is regularly varying and, in fact, ‘inherits’ its regular variation from that of the $(Z_j)$’s. We compute the associated limiting measure. Examples include linear processes, random coefficient linear processes such as stochastic recurrence equations, random sums and stochastic integrals.

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