English

Renorming divergent perpetuities

Statistics Theory 2011-07-15 v1 Statistics Theory

Abstract

We consider a sequence of random variables (Rn)(R_n) defined by the recurrence Rn=Qn+MnRn1R_n=Q_n+M_nR_{n-1}, n1n\ge1, where R0R_0 is arbitrary and (Qn,Mn)(Q_n,M_n), n1n\ge1, are i.i.d. copies of a two-dimensional random vector (Q,M)(Q,M), and (Qn,Mn)(Q_n,M_n) is independent of Rn1R_{n-1}. It is well known that if ElnM<0E{\ln}|M|<0 and Eln+Q<E{\ln^+}|Q|<\infty, then the sequence (Rn)(R_n) converges in distribution to a random variable RR given by R=dk=1Qkj=1k1MjR\stackrel{d}{=}\sum_{k=1}^{\infty}Q_k\prod_{j=1}^{k-1}M_j, and usually referred to as perpetuity. In this paper we consider a situation in which the sequence (Rn)(R_n) itself does not converge. We assume that ElnME{\ln}|M| exists but that it is non-negative and we ask if in this situation the sequence (Rn)(R_n), after suitable normalization, converges in distribution to a non-degenerate limit.

Keywords

Cite

@article{arxiv.1107.2753,
  title  = {Renorming divergent perpetuities},
  author = {Paweł Hitczenko and Jacek Wesołowski},
  journal= {arXiv preprint arXiv:1107.2753},
  year   = {2011}
}

Comments

Published in at http://dx.doi.org/10.3150/10-BEJ297 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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