Inverse Exponential Decay: Stochastic Fixed Point Equation and ARMA Models

12/30/2017

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by   Krzysztof Burdzy, et al.

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We study solutions to the stochastic fixed point equation Xd=AX+B when the coefficients are nonnegative and B is an "inverse exponential decay" (IED) random variable. We provide theorems on the left tail of X which complement well-known tail results of Kesten and Goldie. We generalize our results to ARMA processes with nonnegative coefficients whose noise terms are from the IED class. We describe the lower envelope for these ARMA processes.