Pregled bibliografske jedinice broj: 918611
Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models
Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models // Bernoulli, 25 (2019), 4B; 3939-3977 doi:10.3150/19-BEJ1116 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 918611 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models
Autori
Burdzy, Krzysztof ; Kołodziejek, Bartosz ; Tadić, Tvrtko
Izvornik
Bernoulli (1350-7265) 25
(2019), 4B;
3939-3977
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Tail estimates, inverse-gamma distribution, stochastic xed point equation, iterated random sequences, ARMA models, time series
Sažetak
We study solutions to the stochastic fixed point equation $X\stackrel{; ; ; ; d}; ; ; ; {; ; ; ; =}; ; ; ; AX+B$ when the coefficients are nonnegative and $B$ is an ``inverse exponential decay'' (IED) random variable. We provide theorems on the left tail of $X$ which complement well-known tail results of Kesten and Goldie. We generalize our results to ARMA processes with nonnegative coefficients whose noise terms are from the IED class. We describe the lower envelope for these ARMA processes.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (SMAAP) (Vondraček, Zoran, HRZZ - 2013-11) ( CroRIS)
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb
Profili:
Tvrtko Tadić
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
