OpenAlex | Fractional Moments of Solutions to Stochastic Recurrence Equations

Fractional Moments of Solutions to Stochastic Recurrence Equations

Work

Year: 2013

Type: article

Abstract: In this paper we study the fractional moments of the stationary solution to the stochastic recurrence equation X t = A t X t −1 + B t , t ∈ Z , where (( A t , B t )) t ∈ Z is an independent and identi... more

Source: Journal of Applied Probability

Authors Thomas Mikosch, Gennady Samorodnitsky, Laleh Tafakori

Institutions University of Copenhagen, Cornell University, Shiraz University

Cites: 47

Cited by: 11

Related to: 10

FWCI: 1.459

Citation percentile (by year/subfield): 63.69

Topic: Stochastic processes and statistical mechanics

Subfield: Mathematical Physics

Field: Mathematics

Domain: Physical Sciences

Open Access status: bronze