eCommons

 

Fractional moments of solutions to stochastic recurrence equations

Other Titles

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

Journal / Series

Volume & Issue

Description

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

Publisher

Keywords

random recursion; fractional moment; stationary solution; GARCH

Location

Effective Date

Expiration Date

Sector

Employer

Union

Union Local

NAICS

Number of Workers

Committee Chair

Committee Co-Chair

Committee Member

Degree Discipline

Degree Name

Degree Level

Related Version

Related DOI

Related To

Related Part

Based on Related Item

Has Other Format(s)

Part of Related Item

Related To

Related Publication(s)

Link(s) to Related Publication(s)

References

Link(s) to Reference(s)

Previously Published As

Government Document

ISBN

ISMN

ISSN

Other Identifiers

Rights

Rights URI

Types

technical report

Accessibility Feature

Accessibility Hazard

Accessibility Summary

Link(s) to Catalog Record