Persistence of autoregressive sequences with logarithmic tails
Probability
2022-03-29 v1
Abstract
We consider autoregressive sequences and with a constant and with positive, independent and identically distributed innovations . It is known that if with some then the chains and 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 . We also prove limit theorems for and conditioned to stay over a fixed level . Furthermore, we study tail asymptotics for recurrence times of and in the case when these chains are positive recurrent and the tail of 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