Survival probabilities of autoregressive processes

DOI10.1051/PS/2013031MaRDI QIDQ5174347zbMATH OpenOpenAlexFDO

Authors Christoph Baumgarten

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.3610

zbMATH Keywords

asymptotic behaviourautoregressive moving averageautoregressive processesboundary crossing probabilityone-sided exit problempersistence probabilitysurvival probability

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Gaussian processes (60G15) Sums of independent random variables; random walks (60G50)

Abstract: Given an autoregressive process X of order p (i.e. X_n = a_1 X_{n-1} + ...+ a_p X_{n_p} + Y_n where the random variables Y_1, Y_2, ... are i.i.d.), we study the asymptotic behaviour of the probability that the process does not exceed a constant barrier up to time N (survival or persistence probability). Depending on the coefficients a_1,...,a_p and the distribution of Y_1, we state conditions under which the survival probability decays polynomially, faster than polynomially or converges to a positive constant. Special emphasis is put on AR(2) processes.

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Cited in

(10)

• Persistence exponents in Markov chains
• Probabilistic solutions of integral equations from optimal control
• Persistence exponents via perturbation theory: AR(1)-processes
• Small deviations of iterated processes in the space of trajectories
• Persistence probabilities and exponents
• Sampling a survival and conditional class of Archimedean processes
• On small deviation probabilities for certain iterated random processes
• Exit times for ARMA processes
• Exit times for some autoregressive processes with non-Gaussian noise distributions
• Exit times for some nonlinear autoregressive processes

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