Related papers: Survival probabilities of autoregressive processes
We consider an RCAR$(p)$ process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to…
This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood…
The long time behaviour of the survival probability of initial state and its dependence on the initial states are considered, for the one dimensional free quantum particle. We derive the asymptotic expansion of the time evolution operator…
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in…
We describe the asymptotic behavior of the number $Z_n[a_n,\infty)$ of individuals with a large value in a stable bifurcating autoregressive process. The study of the associated first moment $\mathbb{E}(Z_n[a_n,\infty))$ is equivalent to…
A new class of integer-valued autoregressive models with dynamic survival probability is proposed. The peculiarity of this class of models lies on the specification of the survival probability through a stochastic recurrence equation. The…
This paper tackles the issue of establishing a lower-bound on the asymptotic ratio of survival probabilities between two different initial conditions, asymptotically in time for a given Markov process with extinction. Such a comparison is a…
In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order p (INAR(p)) is described. Under a natural assumption it is proved that the sequence of appropriately scaled random step functions formed from…
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…
Consider a supercritical branching random walk in a time-inhomogeneous random environment. We impose a selection (called barrier) on survival in the following way. The position of the barrier may depend on the generation and the…
Reaction-diffusion process with exclusion in the presence of traps has been studied. The asymptotic survival probability for the case of uniformly distributed random traps shows a stretched e\ xponential behavior. We show that additional…
We consider a random walk with death in $[-N,N]$ moving in a time dependent environment. The environment is a system of particles which describes a current flux from $N$ to $-N$. Its evolution is influenced by the presence of the random…
We consider the problem of threshold estimation for autoregressive time series with a "space switching" in the situation, when the regression is nonlinear and the innovations have a smooth, possibly non Gaussian, probability density.…
Consider a discrete-time one-dimensional supercritical branching random walk. We study the probability that there exists an infinite ray in the branching random walk that always lies above the line of slope $\gamma-\epsilon$, where $\gamma$…
This work is a continuation of [7]. We consider a continuous-time birth-and-death process in which the transition rates have an asymptotical power-law dependence upon the position of the process. We establish rough exponential asymptotic…
We consider a discrete-time version of a Hawkes process defined as a Poisson auto-regressive process whose parameters depend on the past of the trajectory. We allow these parameters to take on negative values, modelling inhibition. More…
We consider immigration processes with binomial catastrophes and random survival parameters. Two sources of randomness are analyzed. In the first model, the survival parameter is independently resampled at each catastrophe. In the second…
Real-world data often exhibits sequential dependence, across diverse domains such as human behavior, medicine, finance, and climate modeling. Probabilistic methods capture the inherent uncertainty associated with prediction in these…
We study the survival probability of moving relativistic unstable particles with definite momentum $\vec{p} \neq 0$. The amplitude of the survival probability of these particles is calculated using its integral representation. We found…
The time dependence of the survival probability, S(t), is determined for diffusing particles in two dimensions which are also driven by a random unidirectional zero-mean velocity field, v_x(y). For a semi-infinite system with unbounded y…