Non-standard limits for a family of autoregressive stochastic sequences

DOI10.1016/J.SPA.2021.09.006MaRDI QIDQ2239265zbMATH OpenOpenAlexFDO

Authors Matthias Schulte, Sergey Foss

Publication date 3 November 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.09948

zbMATH Keywords

characteristic functionnormal distributionautoregressive modelstationary distributionlimiting distributionrestart mechanism

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We consider a family of multivariate autoregressive stochastic sequences that restart when hit a neighbourhood of the origin, and study their distributional limits when the autoregressive coefficient tends to one, the noise scaling parameter tends to zero, and the neighbourhood size varies. We obtain a non-standard limit theorem where the limiting distribution is a mixture of an atomic distribution and an absolutely continuous distribution whose marginals, in turn, are mixtures of distributions of signed absolute values of normal random variables. In particular, we provide conditions for the limiting distribution to be normal, like in the case without restart mechanism. The main theorem is accompanied by a number of examples and auxiliary results of their own interest.

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Cited in

(1)

• Markov processes with restart

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