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Near-unit-root persistence of symmetric and asymmetric stable autoregressive sequences

Mendonça, José Ricardo G. et al.
arXiv (All) · Papers
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probabilitystatistical-mechanicsstatistics-theory
For an AR($1$) sequence with coefficient $0 < a < 1$, the probability of staying above zero decays exponentially in the number of steps; at the unit root $a=1$ it decays polynomially, with order $n^{-1/2}$ for symmetric increments. We study this transition for AR($1$) sequences driven by symmetric a
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