Persistence probabilities in centered, stationary, Gaussian processes in discrete time
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Publication:2520134
DOI10.1007/S13226-016-0183-6zbMATH Open1354.60038arXiv1602.00098OpenAlexW2964229575MaRDI QIDQ2520134FDOQ2520134
Authors: Yanyan Li 
Publication date: 13 December 2016
Published in: Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)
Abstract: Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay faster than exponentially. It is shown that if the spectral measure is not singular, then the exponent in the persistence probability cannot grow faster than quadratically. An example that appears (from numerical evidence) to achieve this lower bound is presented.
Full work available at URL: https://arxiv.org/abs/1602.00098
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- Persistence of Gaussian stationary processes: a spectral perspective
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- Persistence exponents in Markov chains
- Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes
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