{"title":"Geometric recurrence of inhomogeneous Gaussian autoregression process","authors":"Olga Moskanova","doi":"10.17721/1812-5409.2023/1.14","DOIUrl":null,"url":null,"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.","PeriodicalId":33822,"journal":{"name":"Visnik Kiivs''kij nacional''nij universitet imeni Tarasa Sevcenka Istoria","volume":"119 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Visnik Kiivs''kij nacional''nij universitet imeni Tarasa Sevcenka Istoria","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17721/1812-5409.2023/1.14","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.
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