Open Access
2018 Recurrence and transience of contractive autoregressive processes and related Markov chains
Martin P.W. Zerner
Electron. J. Probab. 23: 1-24 (2018). DOI: 10.1214/18-EJP152
Abstract

We characterize recurrence and transience of nonnegative multivariate autoregressive processes of order one with random contractive coefficient matrix, of subcritical multitype Galton-Watson branching processes in random environment with immigration, and of the related max-autoregressive processes and general random exchange processes. Our criterion is given in terms of the maximal Lyapunov exponent of the coefficient matrix and the cumulative distribution function of the innovation/immigration component.

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Martin P.W. Zerner "Recurrence and transience of contractive autoregressive processes and related Markov chains," Electronic Journal of Probability 23(none), 1-24, (2018). https://doi.org/10.1214/18-EJP152
Received: 31 December 2016; Accepted: 16 February 2018; Published: 2018
Vol.23 • 2018
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