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Title: Fractional moments of solutions to stochastic recurrence equations
Authors: Mikosch, Thomas
Samorodnitsky, Gennady
Tafakori, Laleh
Keywords: random recursion
fractional moment
stationary solution
Issue Date: 13-Mar-2012
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
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