Cornell University
Library
Cornell UniversityLibrary

eCommons

Help
Log In(current)
  1. Home
  2. College of Engineering
  3. Operations Research and Information Engineering
  4. ORIE Technical Reports
  5. Fractional moments of solutions to stochastic recurrence equations

Fractional moments of solutions to stochastic recurrence equations

File(s)
s031212.pdf (267.71 KB)
Main article
Permanent Link(s)
https://hdl.handle.net/1813/28598
Collections
ORIE Technical Reports
Author
Mikosch, Thomas
Samorodnitsky, Gennady
Tafakori, Laleh
Abstract

In this paper we study the fractional moments of the stationary solution to a stochastic recursion. We derive recursive formulas for the fractional moments of the solution. Special attention is given to the case when the additive term has an Erlang distribution. We provide various approximations to the moments and show their performance in a small numerical study

Sponsorship
Gennady Samorodnitsky's research was
partially supported by the ARO
grant W911NF-07-1-0078, NSF grant DMS-1005903 and NSA grant
H98230-11-1-0154 at Cornell University
Date Issued
2012-03-13
Keywords
random recursion
•
fractional moment
•
stationary solution
•
GARCH
Type
technical report

Site Statistics | Help

About eCommons | Policies | Terms of use | Contact Us

copyright © 2002-2026 Cornell University Library | Privacy | Web Accessibility Assistance