A characterization of the Pareto process among stationary stochastic processes of the form \(X_ n=c\,\min (X_{n-1},Y_ n)\) (Q1262611): Difference between revisions

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Latest revision as of 11:38, 20 June 2024

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A characterization of the Pareto process among stationary stochastic processes of the form \(X_ n=c\,\min (X_{n-1},Y_ n)\)
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    A characterization of the Pareto process among stationary stochastic processes of the form \(X_ n=c\,\min (X_{n-1},Y_ n)\) (English)
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    1989
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    The authors consider stationary stochastic solutions of the equation \(X_ n=c\cdot \min (X_{n-1},Y_ n),\) \(c>0\), where the upper bound \(Y_ n\) is non-negative white noise (non-negative i.i.d random variable). They give the very interesting result, that the level crossing processes \(Z_ n(t)=I(X_ n>t)\) are Markovian for every t if and only if the minimization process \(X_ n\) with \[ P(X_ n>x)=[1+(x/a)^{1/\gamma}]^{-1},\quad x>0, \] is a Pareto process.
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    level crossing processes
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    minimization process
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    Pareto process
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