We consider autoregressive sequences Xn = aX n−1 + ξn and Mn = max{aM n−1 , ξn} with a constant a ∈ (0, 1) and with positive, independent and identically distributed innovations {ξ k }. It is known that if P(ξ 1 > x) ∼ d log x with some d ∈ (0, − log a) then the chains {Xn} and {Mn} are null recurrent. We investigate the tail behaviour of recurrence times in this case of logarithmically decaying tails. More precisely, we show that the tails of recurrence times are regularly varying of index −1 − d/ log a. We also prove limit theorems for {Xn} and {Mn} conditioned to stay over a fixed level x 0 . Furthermore, we study tail asymptotics for recurrence times of {Xn} and {Mn} in the case when these chains are positive recurrent and the tail of log ξ 1 is subexponential.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
customersupport@researchsolutions.com
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.