Persistence changes character as an autoregressive coefficient approaches one: for each fixed $0<a<1$, survival above zero decays exponentially, whereas at the unit root symmetric random-walk survival is of order $n^{-1/2}$. We study this transition for AR($1$) sequences driven by symmetric $\alpha$-stable innovations and write $\Lambda(a,\alpha)$ for their exponential persistence rate. The entire chain admits an exact representation through a single stable L\'{e}vy process observed on a geometrically expanding time grid. Comparison with continuous half-line survival gives $\Lambda(a,\alpha) \leq \frac{\alpha}{2}\log{(1/a)}$. For $0<\alpha<2$, this bound disproves the stable specialization of a conjecture of Hinrichs, Kolb and Wachtel for regularly varying innovation tails. \rev{Combining stable closure under subsampling with a monotonicity coupling yields a lower bound of the same near-unit order.} This proves $\Lambda(a,\alpha) \asymp \log{(1/a)}$ as $a \uparrow 1$ and shows that the ratio $\Lambda(a,\alpha)/\log{(1/a)}$ converges to a limit in $(0,\alpha/2]$, equal to its supremum over $0<a<1$. Finally, a Lamperti transformation reduces identification of this constant to a dense-sampling persistence problem for a stationary stable Ornstein--Uhlenbeck process. Existing Gaussian theory determines the sharp value at $\alpha=2$. For $0<\alpha<2$, identifying the value requires controlling paths that cross below zero and return above zero between consecutive observations.
We study a moving-average process with (not necessarily symmetric) Laplace innovations under the constraint of positivity. In the three nondegenerate parameter regimes $0<\theta<1$, $\theta>1$, and $\theta<0$, we prove convergence of the conditioned finite-dimensional distributions and identify the limit as a Doob $h$-...
Many time series are not stable over their full observation horizon, but may contain scientifically meaningful periods during which a signal remains stable up to a prescribed tolerance. We formulate this as an existence test for stable intervals in a non-stationary regression model with dependent, locally stationary er...
We study the normalized half moment $\alpha_{\mathbb R}^{(\lambda)}(N)$ of the size-$N$ Laguerre orthogonal ensemble for real shape $\lambda\ge0$. At integer shape this is the expected average singular value of an $N\times(N+\lambda)$ real Gaussian matrix. The square mean increases with the dimension, whereas every rea...
We consider beta-Dyson Brownian motion, with $\beta>= 1$, started from a deterministic configuration with uniformly bounded support. Let $\mu_t$ be the semicircular free-convolution flow issued from the initial empirical measure, and set $S_t = supp(\mu_t)$. For every fixed $T, \epsilon>0$, with probability at least $1...
In this paper we study a linear drift perturbed by a superposition of $m$ independent fractional Brownian motions with known Hurst parameters and a common scale, observed at $N$ equidistant times. Inference for such models is usually asymptotic; we show that here it is exact. We derive the maximum likelihood estimators...
The branching ratio $\rho$ of a self-exciting point process determines the branching margin $1-\rho$ to the critical boundary. We study inference on $\rho$ from a finite record for stationary Hawkes processes with completely monotone kernels whose slow relaxation mass obeys an envelope near zero rate. Slow excitation c...
Mauricio-René Herrera-Marín· 1 citation
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