An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes (Q981000)

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An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
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    An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes (English)
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    8 July 2010
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    The classical Cramér estimate in its logarithmic form asserts that under appropriate conditions, the maximum \(M\) of a negatively drifted random walk satisfies \(\lim_{t\to+\infty} t^{-1}\log \mathbb P[M>t]=-\theta\) for some explicit constant \(\theta\). The paper under review proves a similar estimate for \((g,F)\)-processes, a class of processes generalizing random walks and fractional ARIMA processes. Given a distribution function \(F\) and a real-analytic function \(g(t)=\sum_{i=0}^{\infty}g_it^i\) defined on \((-1,1)\), a \((g,F)\)-process is defined by \(S_n=\sum_{i=0}^{n-1} g_i X_{n-i}\), where \(\{X_i, i\in \mathbb N\}\) are i.i.d.\ random variables with distribution function \(F\). Under appropriate conditions on \(g\) and \(F\) the authors prove a logarithmic form of the Cramér estimate for the maximum \(M=\max_{n\geq 0} S_n\). Also, the most likely paths as well as the most likely behavior of the innovations leading to an unusually high maximum \(M\) are exhibited.
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    Maximum of random walk
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    Cramér's estimate
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    fractional ARIMA process
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    ruin probability
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    large deviations
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