Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models (CROSBI ID 246816)
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Podaci o odgovornosti
Burdzy, Krzysztof ; Kołodziejek, Bartosz ; Tadić, Tvrtko
engleski
Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models
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.
Tail estimates, inverse-gamma distribution, stochastic xed point equation, iterated random sequences, ARMA models, time series
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