A switch convergence for a small perturbation of a linear recurrence equation

DOI10.1214/20-BJPS474zbMATH Open1471.60103arXiv1810.09562OpenAlexW3154407826MaRDI QIDQ2233653FDOQ2233653

Authors: Gerardo Barrera, Shuo Liu 

Publication date: 11 October 2021

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: In this article we study a small random perturbation of a linear recurrence equation. If all the roots of its corresponding characteristic equation have modulus strictly less than one, the random linear recurrence goes exponentially fast to its limiting distribution in the total variation distance as time increases. By assuming that all the roots of its corresponding characteristic equation have modulus strictly less than one and some suitable conditions, we prove that this convergence happens as a switch-type, i.e., there is a sharp transition in the convergence to its limiting distribution. This fact is known as a cut-off phenomenon in the context of stochastic processes.

Full work available at URL: https://arxiv.org/abs/1810.09562

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zbMATH Keywords

Gaussian distributionlinear recurrencestotal variation distancecut-off phenomenon

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Random operators and equations (aspects of stochastic analysis) (60H25)

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