A phase transition for large values of bifurcating autoregressive models

DOI10.1007/S10959-020-01033-WMaRDI QIDQ2664532zbMATH OpenOpenAlexFDO

Authors Vincent Bansaye, S. Valère Bitseki Penda

Publication date 17 November 2021

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

Full work available at URL https://arxiv.org/abs/1912.07891

zbMATH Keywords

autoregressive processbranching processlarge deviationsrandom environment

Mathematics Subject Classification ID

Combinatorial probability (60C05) Large deviations (60F10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Processes in random environments (60K37) Population dynamics (general) (92D25)

Abstract: We describe the asymptotic behavior of the number $Z_n[a_n,infty)$ of individuals with a large value in a stable bifurcating autoregressive process. The study of the associated first moment $mathbbE(Z_n[a_n,infty))$ is equivalent to the annealed large deviation problem $mathbbP(Y_{n}geq{a}_n)$, where $Y$ is an autoregressive process in a random environment and $a_{n}ightarrowinfty$. The population with large values and the trajectorial behavior of $Z_n[a_n,infty)$ is obtained from the ancestral paths associated to the large deviations of $Y$ together with its environment. The study of large deviations of autoregressive processes in random environment is of independent interest and achieved first in this paper. The proofs of trajectorial estimates for bifurcating autoregressive process involves then a law of large numbers for non-homogenous trees. Two regimes appear in the stable case, depending on the fact that one of the autoregressive parameter is greater than one or not. It yields two different asymptotic behaviors for the large local densities and maximal value of the bifurcating autoregressive process.

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