Geometric recurrence of inhomogeneous Gaussian autoregression process
DOI:
https://doi.org/10.17721/1812-5409.2023/1.14Keywords:
Gaussian autoregression, inhomogeneous Markov chainAbstract
In this paper we study Gaussian autoregression model of the form X_{n+1} = α_{n+1} X_n + W_{n+1}. It has time-inhomogeneous centered normal increments W_n and control ratios α_n. We obtained upper bounds for expectation of exponential return time to the compact [−c; c] and for expectation of the function of compressing ratios and the mentioned moment.
Pages of the article in the issue: 101 - 105
Language of the article: English
References
GOLOMOZIY, V. (2023) On geometric recurrence for time-inhomogeneous autoregression. In print, Modern Stochastics: Theory and Applications.
DOUC, R. et al. (2018) Markov Chains. Springer Nature Switzerland.
MEYN, S.P., TWEEDIE, R.L. (1993) Markov Chains and Stochastic Stability. Springer-Verlag London Limited.
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Copyright (c) 2023 Olga Moskanova
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