Inverse exponential decay: stochastic fixed point equation and ARMA models

DOI10.3150/19-BEJ1116zbMath1435.62318arXiv1801.00149OpenAlexW2926399508WikidataQ115488546 ScholiaQ115488546MaRDI QIDQ2325398

Bartosz Kołodziejek, Tvrtko Tadić, Krzysztof Burdzy

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.00149

zbMATH Keywords

time seriesARMA modelstail estimatesstochastic fixed-point equationinverse exponential decay random variableinverse-gamma distributioniterated random sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Scaling limit of the Fleming-Viot multicolor process ⋮ Stochastic fixed-point equation and local dependence measure

Cites Work

• Extinction of Fleming-Viot-type particle systems with strong drift
• Implicit renewal theory and tails of solutions of random equations
• Inequalities for distributions with given marginals
• Time series: theory and methods.
• Random difference equations and renewal theory for products of random matrices
• Stochastic Models with Power-Law Tails
• A First Course in Bayesian Statistical Methods
• Iterated Random Functions
• On perpetuities with light tails
• A Fleming-Viot particle representation of the Dirichlet Laplacian

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