2 papers
math.PR2026
MA(1) processes with Laplace innovations conditioned to stay positive
Frank Aurzada, Virginia Worf
We study a moving-average process with (not necessarily symmetric) Laplace innovations under the constraint of positivity. In the three nondegenerate parameter regimes , $θ>…
math.PR2026
MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime
Frank Aurzada, Virginia Worf
We study an MA(1)-process with uniform innovations conditioned to stay positive. Representing the model as a Markov chain, we prove the existence of the limiting finite-dimensional…