Persistence of autoregressive sequences with logarithmic tails

DOI10.1214/22-EJP879MaRDI QIDQ2105158zbMATH OpenFDO

Authors Denis E. Denisov, G. Hinrichs, Martin Kolb, Vitali Wachtel

Publication date 8 December 2022

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.14772

zbMATH Keywords

conditioned processexit timeharmonic functionrandom walk

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50)

Recommendations

• Persistence of one-dimensional AR(1)-sequences
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations
• Extremal behavior of recurrent random sequences
• Recurrence and transience of contractive autoregressive processes and related Markov chains
• Maxima of recurrent random sequences. The case of heavy tails

Cites work

• Asymptotics for sums of random variables with local subexponential behaviour
• Conditioned limit theorems for some null recurrent Markov processes
• Exponential functionals of Lévy processes
• Functional limit theorems for divergent perpetuities in the contractive case
• Null recurrence and transience of random difference equations in the contractive case
• On a general random exchange model
• Persistence exponents in Markov chains
• Persistence exponents via perturbation theory: AR(1)-processes
• Recurrence and transience of contractive autoregressive processes and related Markov chains
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations
• Semi-stable Markov processes. I
• SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1
• Subexponential distributions and integrated tails
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes

Cited in

(7)

• Self-affine time series: Measures of weak and strong persistence.
• Persistence exponents in Markov chains
• Persistence of one-dimensional AR(1)-sequences
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations
• Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
• Persistence of autoregressive sequences with logarithmic tails
• Persistence of AR(1) sequences with Rademacher innovations and linear mod 1 transforms

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