In:
Journal of Applied Probability, Cambridge University Press (CUP), Vol. 50, No. 4 ( 2013-12), p. 969-982
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 identically distributed bivariate sequence. We derive recursive formulae for the fractional moments E| X 0 | p , p ∈ R . Special attention is given to the case when B t has an Erlang distribution. We provide various approximations to the moments E| X 0 | p and show their performance in a small numerical study.
Type of Medium:
Online Resource
ISSN:
0021-9002
,
1475-6072
DOI:
10.1239/jap/1389370094
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
2013
detail.hit.zdb_id:
1474599-9
detail.hit.zdb_id:
219147-7
SSG:
3,2
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