非齐次高斯自回归过程的几何递归

Visnik Kiivs''kij nacional''nij universitet imeni Tarasa Sevcenka Istoria Pub Date : 2023-01-01 DOI:10.17721/1812-5409.2023/1.14

Olga Moskanova

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引用次数: 0

摘要

本文研究形式为X_{n+1} = α_{n+1} X_n + W_{n+1}的高斯自回归模型。它具有时间非齐次中心正态增量W_n和控制比α_n。我们得到了紧态[−c]的指数回归时间期望的上界;C]，为压缩比函数和上述弯矩的期望值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Geometric recurrence of inhomogeneous Gaussian autoregression process

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.

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Visnik Kiivs''kij nacional''nij universitet imeni Tarasa Sevcenka Istoria

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审稿时长

4 weeks