کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156027 958795 2010 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An extension of a logarithmic form of Cramér’s ruin theorem to some FARIMA and related processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
An extension of a logarithmic form of Cramér’s ruin theorem to some FARIMA and related processes
چکیده انگلیسی

Cramér’s theorem provides an estimate for the tail probability of the maximum of a random walk with negative drift and increments having a moment generating function finite in a neighborhood of the origin. The class of (g,F)(g,F)-processes generalizes in a natural way random walks and fractional ARIMA models used in time series analysis. For those (g,F)(g,F)-processes with negative drift, we obtain a logarithmic estimate of the tail probability of their maximum, under conditions comparable to Cramér’s. Furthermore, we exhibit the most likely paths as well as the most likely behavior of the innovations leading to a large maximum.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 6, June 2010, Pages 801–828
نویسندگان
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