English

Persistence of autoregressive sequences with logarithmic tails

Probability 2022-03-29 v1

Abstract

We consider autoregressive sequences Xn=aXn1+ξnX_n=aX_{n-1}+\xi_n and Mn=max{aMn1,ξn}M_n=\max\{aM_{n-1},\xi_n\} with a constant a(0,1)a\in(0,1) and with positive, independent and identically distributed innovations {ξk}\{\xi_k\}. It is known that if P(ξ1>x)dlogx\mathbf P(\xi_1>x)\sim\frac{d}{\log x} with some d(0,loga)d\in(0,-\log a) then the chains {Xn}\{X_n\} and {Mn}\{M_n\} are null recurrent. We investigate the tail behaviour of recurrence times in this case of logarithmically decaying tails. More precisely, we show that the tails of recurrence times are regularly varying of index 1d/loga-1-d/\log a. We also prove limit theorems for {Xn}\{X_n\} and {Mn}\{M_n\} conditioned to stay over a fixed level x0x_0. Furthermore, we study tail asymptotics for recurrence times of {Xn}\{X_n\} and {Mn}\{M_n\} in the case when these chains are positive recurrent and the tail of logξ1\log\xi_1 is subexponential.

Keywords

Cite

@article{arxiv.2203.14772,
  title  = {Persistence of autoregressive sequences with logarithmic tails},
  author = {Denis Denisov and Gunter Hinrich and Martin Kolb and Vitali Wachtel},
  journal= {arXiv preprint arXiv:2203.14772},
  year   = {2022}
}

Comments

42 pages

R2 v1 2026-06-24T10:28:25.312Z