English

Relative growth of the partial sums of certain random Fibonacci-like sequences

Probability 2017-09-18 v1

Abstract

We consider certain Fibonacci-like sequences (Xn)n0(X_n)_{n\geq 0} perturbed with a random noise. Our main result is that 1Xnk=0n1Xk\frac{1}{X_n}\sum_{k=0}^{n-1}X_k converges in distribution, as nn goes to infinity, to a random variable WW with Pareto-like distribution tails. We show that s=limxlogP(W>x)logxs=\lim_{x\to \infty} \frac{-\log P(W>x)}{\log x} is a monotonically decreasing characteristic of the input noise, and hence can serve as a measure of its strength in the model. Heuristically, the heavy-taliped limiting distribution, versus a light-tailed one with s=+,s=+\infty, can be interpreted as an evidence supporting the idea that the noise is "singular" in the sense that it is "big" even in a "slightly" perturbed sequence.

Keywords

Cite

@article{arxiv.1709.04936,
  title  = {Relative growth of the partial sums of certain random Fibonacci-like sequences},
  author = {Alexander Roitershtein and Zhirou Zhou},
  journal= {arXiv preprint arXiv:1709.04936},
  year   = {2017}
}