On the stationary tail index of iterated random Lipschitz functions

DOI10.1016/J.SPA.2015.08.004MaRDI QIDQ898406zbMATH OpenOpenAlexFDO

Authors Gerold Alsmeyer

Publication date 8 December 2015

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

Full work available at URL https://arxiv.org/abs/1409.2663

zbMATH Keywords

AR(1)-modelARCH errorsimplicit renewal theoryiterated function systemMarkov chainrandom Lipschitz functionsrandom logistic transformstationary lawstochastic fixed-point equationstochastic Ricker modeltail index

Mathematics Subject Classification ID

Large deviations (60F10) Random operators and equations (aspects of stochastic analysis) (60H25) Discrete-time Markov processes on general state spaces (60J05) Renewal theory (60K05)

Abstract: Let $Ps{i}_1,Ps{i}_2,\mathrm{...}$ be a sequence of i.i.d. random Lipschitz functions on a complete separable metric space with unbounded metric $d$ and forward iterations $X_n$. Suppose that $X_n$ has a stationary distribution. We study the stationary tail behavior of the functional $D_n=d(x_0,X_n)$, $x_0$ an arbitrary reference point, by providing bounds for these random variables in terms of simple contractive iterated function systems on the nonnegative halfline. Our results provide bounds for the lower and upper tail index of $D_n$ and will be illustrated by a number of popular examples including the AR(1) model with ARCH errors and random logistic transforms.

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Cited in

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