Persistence exponents in Markov chains

DOI10.1214/20-AIHP1114MaRDI QIDQ2077328zbMATH OpenOpenAlexFDO

Authors Frank Aurzada, Sumit Mukherjee, Ofer Zeitouni

Publication date 25 February 2022

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.06447

zbMATH Keywords

Markov chainARMAlarge deviationsintegral equationeigenvalue problempersistencequasi-stationary distribution

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05) Eigenvalue problems for integral equations (45C05) Eigenvalue problems for linear operators (47A75)

Abstract: We prove the existence of the persistence exponent ${\displaystyle }$loglambda:=lim_{n oinfty}frac{1}{n}log mathbb{P}_mu(X_0in S,ldots,X_nin S)${\displaystyle }$ for a class of time homogeneous Markov chains ${X_i}_{igeq0}$ taking values in a Polish space, where $S$ is a Borel measurable set and $mu$ is an initial distribution. Focusing on the case of AR($p$) and MA($q$) processes with $p,qinmathbbN$ and continuous innovation distribution, we study the existence of $lambda$ and its continuity in the parameters of the AR and MA processes, respectively, for $S=mathbb{R}_{geq0}$. For AR processes with log-concave innovation distribution, we prove the strict monotonicity of $lambda$. Finally, we compute new explicit exponents in several concrete examples.

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Cited in

(10)

• Persistence of one-dimensional AR(1)-sequences
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• A universality class in Markovian persistence
• Persistence exponents via perturbation theory: AR(1)-processes
• Persistence probabilities of weighted sums of stationary Gaussian sequences
• Universality for persistence exponents of local times of self-similar processes with stationary increments
• Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
• Persistence exponents via perturbation theory: autoregressive and moving average processes
• Persistence exponents of non-Gaussian processes in statistical mechanics
• Persistence of autoregressive sequences with logarithmic tails

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