Persistence exponents in Markov chains
Probability
2020-12-08 v4
Abstract
We prove the existence of the persistence exponent for a class of time homogeneous Markov chains taking values in a Polish space, where is a Borel measurable set and is an initial distribution. Focusing on the case of AR() and MA() processes with and continuous innovation distribution, we study the existence of and its continuity in the parameters of the AR and MA processes, respectively, for . For AR processes with log-concave innovation distribution, we prove the strict monotonicity of . Finally, we compute new explicit exponents in several concrete examples.
Cite
@article{arxiv.1703.06447,
title = {Persistence exponents in Markov chains},
author = {Frank Aurzada and Sumit Mukherjee and Ofer Zeitouni},
journal= {arXiv preprint arXiv:1703.06447},
year = {2020}
}
Comments
Minor changes. To appear in AIHP