Persistence exponents via perturbation theory: autoregressive and moving average processes

DOI10.26083/TUPRINTS-00017566MaRDI QIDQ5040433zbMATH OpenOpenAlexFDO

Authors Marvin Kettner

Publication date 14 October 2022

Full work available at URL https://tubiblio.ulb.tu-darmstadt.de/125602/

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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Cited in

(5)

• Self-affine time series: Measures of weak and strong persistence.
• Persistence exponents of non-Gaussian processes in statistical mechanics
• A universality class in Markovian persistence
• Persistence exponents in Markov chains
• Persistence exponents via perturbation theory: AR(1)-processes

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