The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
From MaRDI portal
Publication:3715984
DOI10.2307/1427243zbMath0588.60056OpenAlexW2029120521MaRDI QIDQ3715984
Publication date: 1986
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1427243
stationary solutionstochastic difference equationuniform strong law of large numbersstrictly stationary and ergodic
Strong limit theorems (60F15) Stochastic stability in control theory (93E15) Stochastic analysis (60H99)
Related Items (only showing first 100 items - show all)
On an autoregressive process driven by a sequence of Gaussian cylindrical random variables ⋮ Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ A MARKOV-MODULATED GROWTH COLLAPSE MODEL ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS ⋮ On Growth-Collapse Processes with Stationary Structure and Their Shot-Noise Counterparts ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Dimension of invariant measures for affine iterated function systems ⋮ A new bivariate autoregressive model driven by logistic regression ⋮ RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME ⋮ On the asymmetry in the volatility of financial time series: a buffered transition approach ⋮ Estimation in nonlinear random fields models of autoregressive type with random parameters ⋮ Transport in reservoir computing ⋮ Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models ⋮ On solutions of the distributional Bellman equation ⋮ Estimating 2-D GARCH models by quasi-maximum of likelihood ⋮ Stationarity and ergodic properties for some observation-driven models in random environments ⋮ On a modified version of the Lindley recursion ⋮ Stationary probability measures on projective spaces 1: block-Lyapunov dominated systems ⋮ Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes ⋮ On the number of segregating sites for populations with large family sizes ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ A note on moving‐average models with feedback ⋮ Consistency of maximum likelihood estimators for the regime-switching GARCH model ⋮ A Microeconomic Approach to Diffusion Models For Stock Prices ⋮ Intensity‐based estimation of extreme loss event probability and value at risk ⋮ Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations ⋮ Recursive online EM estimation of mixture autoregressions ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ On square-integrability of an AR process with Markov switching ⋮ Convergence of two-dimensional branching recursions ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients ⋮ On the stability of the Kalman–Bucy filter with stationary time varying parameters ⋮ The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process ⋮ Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients ⋮ Multivariate arma models with generalized autoregressive linear innovation ⋮ Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients ⋮ Linear diffusion with stationary switching regime ⋮ Stability of linear stochastic difference equations in strategically controlled random environments ⋮ Filtering With Heavy Tails ⋮ Random coefficient autoregression, regime switching and long memory ⋮ Affine stochastic equation with triangular matrices ⋮ Quasistochastic matrices and Markov renewal theory ⋮ Unnamed Item ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS ⋮ Enhanced Signal Detection by Adaptive Decorrelation of Interspike Intervals ⋮ ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS ⋮ Stability of perpetuities ⋮ Renewal regime switching and stable limit laws ⋮ Seeking ergodicity in dynamic economies ⋮ Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ EGARCH models with fat tails, skewness and leverage ⋮ Implicit Renewal Theory and Power Tails on Trees ⋮ Tails of bivariate stochastic recurrence equation with triangular matrices ⋮ Strong approximation for the sums of squares of augmented GARCH sequences ⋮ The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case ⋮ Random walks generated by affine mappings ⋮ Stochastic dominance and thick-tailed wealth distributions ⋮ Augmented GARCH\((p,q)\) process and its diffusion limit ⋮ An introduction to stochastic unit-root processes ⋮ Critical thresholds for eventual extinction in randomly disturbed population growth models ⋮ Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach ⋮ Comments on the presence of serial correlation in the random coefficients of an autoregressive process ⋮ Identification of seasonal effects in impulse responses using score-driven multivariate location models ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Tail indices for \(AX+B\) recursion with triangular matrices ⋮ The ZD-GARCH model: a new way to study heteroscedasticity ⋮ Parameter estimation of Markov switching bilinear model using the (EM) algorithm ⋮ On random coefficient INAR(1) processes ⋮ Exchangeability and Infinite Divisibility ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ Tail behavior of solutions of linear recursions on trees ⋮ Multivariate linear recursions with Markov-dependent coefficients ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ On general periodic time-varying bilinear processes ⋮ Local unit roots and global stationarity of TARMA models ⋮ Fractal attractors and singular invariant measures in two-sector growth models with random factor shares ⋮ Necessary and sufficient conditions for existence of stationary and periodic solutions of a stochastic difference equation in Hilbert space ⋮ Multivariate Markov-switching score-driven models: an application to the global crude oil market ⋮ Random linear recursions with dependent coefficients ⋮ Bayesian non-parametric mixtures of GARCH(1,1) models ⋮ Queues with service times and interarrival times depending linearly and randomly upon waiting times ⋮ Covariance operator estimation of a functional autoregressive process with random coefficients ⋮ A stochastic model for evolution of sociality in insects. ⋮ Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions ⋮ Non-causal strictly stationary solutions of random recurrence equations ⋮ Multivariate Markov-switching ARMA processes with regularly varying noise ⋮ A note on integrated periodic \textit{GARCH} processes ⋮ On queues with service and interarrival times depending on waiting times ⋮ Expected waiting time in symmetric polling systems with correlated walking times ⋮ One-dimensional linear recursions with Markov-dependent coefficients ⋮ Stationary bubble equilibria in rational expectation models ⋮ On the ARCH model with stationary liquidity ⋮ Unnamed Item ⋮ Stationarity of GARCH processes and of some nonnegative time series ⋮ On exponential functionals of Lévy processes
This page was built for publication: The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
