Limit theorems for first passage times of multivariate perpetuity sequences
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2023
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| author | Mentemeier, Sebastian Xiao, Hui |
| author_facet | Mentemeier, Sebastian Xiao, Hui |
| contents | We study the first passage time $τ_u = \inf \{ n \geq 1: |V_n| > u \}$ for the multivariate perpetuity sequence $V_n = Q_1 + M_1 Q_2 + \cdots + (M_1 \ldots M_{n-1}) Q_n$, where $(M_n, Q_n)$ is a sequence of independent and identically distributed random variables with $M_1$ a $d \times d$ ($d \geq 1$) random matrix with nonnegative entries, and $Q_1$ a nonnegative random vector in $\mathbb R^d$. Here $|\cdot|$ denotes the vector norm. The exact asymptotic for the probability $\mathbb P (τ_u < \infty)$ as $u \to \infty$ has been found by Kesten (Acta Math. 1973). In this paper we prove a conditioned weak law of large numbers for $τ_u$: conditioned on the event $\{ τ_u < \infty \}$, $\frac{τ_u}{\log u}$ converges in probability to a certain constant $ρ> 0$ as $u \to \infty$. A conditioned central limit theorem for $τ_u$ is also obtained. We further establish precise large deviation asymptotics for the lower probability $\mathbb P (τ_u \leq (β- l) \log u)$ as $u \to \infty$, where $β\in (0, ρ)$ and $l \geq 0$ is a vanishing perturbation satisfying $l \to 0$ as $u \to \infty$. Our results extend those of Buraczewski et al. (Ann. Probab. 2016) from the univariate case ($d=1$) to the multivariate case ($d>1$). As consequences, we deduce exact asymptotics for the pointwise probability $\mathbb P (τ_u = [(β- l) \log u] )$ and the local probability $\mathbb P (τ_u - (β- l) \log u \in (a, a + m ] )$, where $a<0$ and $m \in \mathbb Z_+$. We also establish analogous results for the first passage time $τ_u^y = \inf \{ n \geq 1: \langle y, V_n \rangle > u \}$, where $y$ is a nonnegative vector in $\mathbb R^d$ with $|y| = 1$. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2307_04985 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Limit theorems for first passage times of multivariate perpetuity sequences Mentemeier, Sebastian Xiao, Hui Probability Primary 60F05, 60F10, secondary 60B20, 60G70 We study the first passage time $τ_u = \inf \{ n \geq 1: |V_n| > u \}$ for the multivariate perpetuity sequence $V_n = Q_1 + M_1 Q_2 + \cdots + (M_1 \ldots M_{n-1}) Q_n$, where $(M_n, Q_n)$ is a sequence of independent and identically distributed random variables with $M_1$ a $d \times d$ ($d \geq 1$) random matrix with nonnegative entries, and $Q_1$ a nonnegative random vector in $\mathbb R^d$. Here $|\cdot|$ denotes the vector norm. The exact asymptotic for the probability $\mathbb P (τ_u < \infty)$ as $u \to \infty$ has been found by Kesten (Acta Math. 1973). In this paper we prove a conditioned weak law of large numbers for $τ_u$: conditioned on the event $\{ τ_u < \infty \}$, $\frac{τ_u}{\log u}$ converges in probability to a certain constant $ρ> 0$ as $u \to \infty$. A conditioned central limit theorem for $τ_u$ is also obtained. We further establish precise large deviation asymptotics for the lower probability $\mathbb P (τ_u \leq (β- l) \log u)$ as $u \to \infty$, where $β\in (0, ρ)$ and $l \geq 0$ is a vanishing perturbation satisfying $l \to 0$ as $u \to \infty$. Our results extend those of Buraczewski et al. (Ann. Probab. 2016) from the univariate case ($d=1$) to the multivariate case ($d>1$). As consequences, we deduce exact asymptotics for the pointwise probability $\mathbb P (τ_u = [(β- l) \log u] )$ and the local probability $\mathbb P (τ_u - (β- l) \log u \in (a, a + m ] )$, where $a<0$ and $m \in \mathbb Z_+$. We also establish analogous results for the first passage time $τ_u^y = \inf \{ n \geq 1: \langle y, V_n \rangle > u \}$, where $y$ is a nonnegative vector in $\mathbb R^d$ with $|y| = 1$. |
| title | Limit theorems for first passage times of multivariate perpetuity sequences |
| topic | Probability Primary 60F05, 60F10, secondary 60B20, 60G70 |
| url | https://arxiv.org/abs/2307.04985 |