Geometric recurrence of inhomogeneous Gaussian autoregression process

Authors

DOI:

https://doi.org/10.17721/1812-5409.2023/1.14

Keywords:

Gaussian autoregression, inhomogeneous Markov chain

Abstract

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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Published

2023-07-13

How to Cite

Moskanova, O. (2023). Geometric recurrence of inhomogeneous Gaussian autoregression process. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics, (1), 101–105. https://doi.org/10.17721/1812-5409.2023/1.14

Issue

No. 1 (2023)

Section

Computer Science and Informatics

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Copyright (c) 2023 Olga Moskanova

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