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

ARMAeigenvalue problemintegral equationlarge deviationsMarkov chainpersistencequasi-stationary distribution

Mathematics Subject Classification ID

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

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.

Recommendations

• Persistence exponents via perturbation theory: autoregressive and moving average processes
• Persistence exponents via perturbation theory: AR(1)-processes
• A universality class in Markovian persistence
• Persistence of one-dimensional AR(1)-sequences
• Persistence of autoregressive sequences with logarithmic tails

Cites work

• Exponential convergence to quasi-stationary distribution for absorbed one-dimensional diffusions with killing
• scientific article; zbMATH DE number 1827105 (Why is no real title available?)
• scientific article; zbMATH DE number 3892029 (Why is no real title available?)
• Long gaps between sign-changes of Gaussian stationary processes
• No zero-crossings for random polynomials and the heat equation
• On the maximum of a critical branching process in a random environment
• On the probability that a stationary Gaussian process with spectral gap remains non-negative on a long interval
• Persistence of Gaussian processes: non-summable correlations
• Persistence of Gaussian stationary processes: a spectral perspective
• Persistence of one-dimensional AR(1)-sequences
• Persistence probabilities and exponents
• Persistence probabilities in centered, stationary, Gaussian processes in discrete time
• Quasi-stationary distributions and population processes
• Quasi-stationary distributions for Markov chains on a general state space
• Quasi-stationary distributions. Markov chains, diffusions and dynamical systems.
• R-theory for Markov chains on a general state space. I: Solidarity properties and R-recurrent chains
• Survival probabilities of autoregressive processes
• Survival probabilities of weighted random walks
• The -invariant measures of subcritical Bienaymé-Galton-Watson processes

Cited in

(14)

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

This page was built for publication: Persistence exponents in Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2077328)