Recurrence properties of autoregressive processes with super-heavy-tailed innovations

Journal of Applied Probability

Volumn 41, Issue 3, 2004, Pages 639-653

  Zeevi, Assaf ^a   Glynn, Peter W ^b,c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b STANFORD UNIVERSITY   (United States)

^c Stanford University   (United States)

Author keywords

Autoregressive process; Heavy tail; Markov process; Recurrence; Stochastic stability; Transience

Indexed keywords

EID: 10244242692     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1091543415     Document Type: Article

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